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Monte Carlo simulation for analysis of the optimum value distribution in stochastic mathematical programs

✍ Scribed by Hüseyin Sarper

Publisher: Elsevier Science
Year: 1993
Tongue: English
Weight: 906 KB
Volume: 35
Category: Article
ISSN: 0378-4754
DOI: 10.1016/0378-4754(93)90065-3

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✦ Synopsis

Sarper, H., Monte Carlo simulation for analysis of the optimum value distribution in stochastic mathematical programs, Mathematics and Computers in Simulation 35 (1993) 469-480.

This paper shows how simulation can be used to quickly solve an otherwise complex mathematical problem of derivation of the optimum value distribution function in stochastic mathematical programs. Two software packages (LINDO and UNIFIT II) are used along with a FORTRAN code in simulating and analyzing a given linear program with stochastic coefficients.

Two previously analytically solved problems are resolved using simulation to show that simulation is indeed an effective method of solution.

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