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

R. Rossi; E.M.T. Hendrix

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

Research output: Chapter in Book/Report/Conference proceeding › Conference paper › Academic › peer-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 language	English
Title of host publication	Proceedings of the XII Global Optimization Workshop MAGO 2014
Editors	L.G. Casado, I. García, E.M.T. Hendrix
Publisher	Universidad de Almería
Pages	49-52
Publication status	Published - 2014
Event	MAGO'14 on Mathematiacal and applied Global Optimization, Málaga, Spain - Duration: 1 Sept 2014 → 4 Sept 2014

Conference/symposium

Conference/symposium	MAGO'14 on Mathematiacal and applied Global Optimization, Málaga, Spain
Period	1/09/14 → 4/09/14

Access to Document

http://www.hpca.ual.es/~MAGO14/MAGO14-Proceedings.pdf#page=58-61

Cite this

Rossi, R., & Hendrix, E. M. T. (2014). Piecewise linearisation of the first order loss function for families of arbitrarily distributed random variables. In L. G. Casado, I. García, & E. M. T. Hendrix (Eds.), Proceedings of the XII Global Optimization Workshop MAGO 2014 (pp. 49-52). Universidad de Almería. http://www.hpca.ual.es/~MAGO14/MAGO14-Proceedings.pdf#page=58-61

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title = "Piecewise linearisation of the first order loss function for families of arbitrarily distributed random variables",

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.",

author = "R. Rossi and E.M.T. Hendrix",

note = "http://www.research.ed.ac.uk/portal/files/15401468/simplex.pdf; MAGO'14 on Mathematiacal and applied Global Optimization, M{\'a}laga, Spain ; Conference date: 01-09-2014 Through 04-09-2014",

year = "2014",

language = "English",

pages = "49--52",

editor = "L.G. Casado and I. Garc{\'i}a and E.M.T. Hendrix",

booktitle = "Proceedings of the XII Global Optimization Workshop MAGO 2014",

publisher = "Universidad de Almer{\'i}a",

}

Rossi, R & Hendrix, EMT 2014, Piecewise linearisation of the first order loss function for families of arbitrarily distributed random variables. in LG Casado, I García & EMT Hendrix (eds), Proceedings of the XII Global Optimization Workshop MAGO 2014. Universidad de Almería, pp. 49-52, MAGO'14 on Mathematiacal and applied Global Optimization, Málaga, Spain, 1/09/14. <http://www.hpca.ual.es/~MAGO14/MAGO14-Proceedings.pdf#page=58-61>

Piecewise linearisation of the first order loss function for families of arbitrarily distributed random variables. / Rossi, R.; Hendrix, E.M.T.
Proceedings of the XII Global Optimization Workshop MAGO 2014. ed. / L.G. Casado; I. García; E.M.T. Hendrix. Universidad de Almería, 2014. p. 49-52.

Research output: Chapter in Book/Report/Conference proceeding › Conference paper › Academic › peer-review

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AB - 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.

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BT - Proceedings of the XII Global Optimization Workshop MAGO 2014

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PB - Universidad de Almería

T2 - MAGO'14 on Mathematiacal and applied Global Optimization, Málaga, Spain

Y2 - 1 September 2014 through 4 September 2014

ER -

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

Abstract

Conference/symposium

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Cite this