Piecewise linearisation of the first order loss function for families of arbitrarily distributed random variables

Alejandro G. Alcoba, Eligius M.T. Hendrix, Roberto Rossi

Research output: Contribution to conferenceAbstractpeer-review

Abstract

We discuss the problem of computing optimal linearisation parameters for the first order loss function of a family of arbitrarily distributed random variable. We demonstrate that, in contrast to the problem in which parameters must be determined for the loss function of a single random variable, this problem is nonlinear and features several local optima and plateaus. We introduce a simple and yet effective heuristic for determining these parameters and we demonstrate its effectiveness
via a numerical analysis carried out on a well known stochastic lot sizing problem.
Original languageEnglish
Publication statusPublished - 2015
Event27th European Conference on Operational Research (EURO 2015) - Glasgow, United Kingdom
Duration: 12 Jul 201515 Jul 2015

Conference

Conference27th European Conference on Operational Research (EURO 2015)
CountryUnited Kingdom
CityGlasgow
Period12/07/1515/07/15

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