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Stochastic Programming: Presented By: Andres Felipe Duque Amaya Advisor: Professor. DR - Ing. Silvia Ochoa Cáceres

Stochastic programming deals with optimization problems where some parameters are uncertain random variables. There are two main approaches: two-stage and chance-constrained. Two-stage programming separates decisions into two stages - an initial decision before random variables are realized, and a second decision after learning the realized values. Chance-constrained programming formulates problems with probabilistic constraints, requiring constraints to be satisfied with some probability. The document applies these approaches to a hydrodesulfuration process case study.

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Andrés Ceverisae
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61 views28 pages

Stochastic Programming: Presented By: Andres Felipe Duque Amaya Advisor: Professor. DR - Ing. Silvia Ochoa Cáceres

Stochastic programming deals with optimization problems where some parameters are uncertain random variables. There are two main approaches: two-stage and chance-constrained. Two-stage programming separates decisions into two stages - an initial decision before random variables are realized, and a second decision after learning the realized values. Chance-constrained programming formulates problems with probabilistic constraints, requiring constraints to be satisfied with some probability. The document applies these approaches to a hydrodesulfuration process case study.

Uploaded by

Andrés Ceverisae
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPTX, PDF, TXT or read online on Scribd
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11

Stochastic Programming

Presented by: ANDRES FELIPE DUQUE AMAYA


Advisor: Professor. Dr.Ing. Silvia Ochoa Cáceres
2

Introduction
• Uncertainty is always present in the operation of
processes. Therefore, when optimal decisions have
to be made, differences between the model and the
reality must be considered in order to propose
feasible actions.

• In the classical approach of optimization, equations


and parameters are considered totally known.
However, when the computed solution is applied to
the reality, frequently the value of the objective
function is worse than expected and/or the
constraints are violated.
3

Introduction
• Usually, the behaviour of the uncertain parameters can be
described using random variables named ξ that belong to a
probability space with a given probability distribution
function (PDF).

• Stochastic programming uses a probabilistic viewpoint to


propose a feasible solution in an optimization problem
when some of the variables present a random behavior.

• There are two main ways to solve this problem: multistage


(and its particular case with two-stages) and chance
constrained programming.
4

Generalities of Stochastic Programming


5

Two Stage programming.


 In two–stage formulation the key idea is: we need to make a
decision now taking into account that after a certain period
of time, more information will be available as measurements
that will contribute to decrease the incertitude from that
time on.

 when decisions have to be made over a time horizon, there


are stages of decisions that differ in the degree of knowledge
of the uncertain variable.

 In the first stage(stage 0), a choice must be made knowing


the initial conditions of the system and without any
certainty about the random variables, except that they
belong to a certain PDF.
6

Two Stage programming.


In the second stage (stage 1), the decision variables
can be chosen taking into account that the value of
the random variable is available (measured or
estimated), and can be equated to the value that it
had in the previous stage.

The decision variable in second stage will depend


on the earlier values and on the random variables.
7

Two Stage programming.


8

Two Stage programming.

if the information that can be acquired in the future is not considered, leading
to an exponential increase in the number of scenarios.
9

Two Stage programming.


10

Two Stage programming.


11

Chance Constraint formulation.


12

Chance Constraint formulation.


13

Chance Constraint formulation.


14

Chance Constraint formulation.


15

Chance Constraint formulation.


16

Chance Constraint formulation.


17

Case Study: hydrodesulfuration process.


18

Model of the plant.


19

Model of the plant.


20

Two stage formulation in HDS


21

Two stage formulation in HDS


22

Two stage formulation in HDS


23

Chance constraint formulation in HDS


24

Chance constraint formulation in HDS


25

Chance constraint formulation in HDS


26

Results for simulations.


27

Results for simulations.


28

Results for simulations.

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