Risk programming analysis with imperfect information

G. Lien, J.B. Hardaker, M.A.P.M. van Asseldonk, J.W. Richardson

    Research output: Contribution to journalArticleAcademicpeer-review

    8 Citations (Scopus)

    Abstract

    A Monte Carlo procedure is used to demonstrate the dangers of basing (farm) risk programming on only a few states of nature and to study the impact of applying alternative risk programming methods. Two risk programming formulations are considered, namely mean-variance (E,V) programming and utility efficient (UE) programming. For the particular example of a Norwegian mixed livestock and crop farm, the programming solution is unstable with few states, although the cost of picking a sub-optimal plan declines with increases in number of states. Comparing the E,V results with the UE results shows that there were few discrepancies between the two and the differences which do occur are mainly trivial, thus both methods gave unreliable results in cases with small samples.
    Original languageEnglish
    Pages (from-to)311-323
    JournalAnnals of Operations Research
    Volume190
    Issue number1
    DOIs
    Publication statusPublished - 2011

    Fingerprint

    Programming
    Imperfect information
    Farm
    Livestock
    Discrepancy
    Crops
    Small sample
    Mean-variance
    Costs
    Nature

    Keywords

    • farm modeling approach
    • utility function
    • uncertainty
    • decision
    • allocation
    • impacts
    • choice

    Cite this

    Lien, G. ; Hardaker, J.B. ; van Asseldonk, M.A.P.M. ; Richardson, J.W. / Risk programming analysis with imperfect information. In: Annals of Operations Research. 2011 ; Vol. 190, No. 1. pp. 311-323.
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    Risk programming analysis with imperfect information. / Lien, G.; Hardaker, J.B.; van Asseldonk, M.A.P.M.; Richardson, J.W.

    In: Annals of Operations Research, Vol. 190, No. 1, 2011, p. 311-323.

    Research output: Contribution to journalArticleAcademicpeer-review

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    KW - allocation

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