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Stochastic Programming

Presented by: ANDRES FELIPE DUQUE AMAYA

Advisor: Professor. Dr.Ing. Silvia Ochoa Cáceres
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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.
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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.
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Generalities of Stochastic Programming

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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.
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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.
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Two Stage programming.

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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.
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Two Stage programming.

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Two Stage programming.

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Chance Constraint formulation.

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Chance Constraint formulation.

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Chance Constraint formulation.

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Chance Constraint formulation.

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Chance Constraint formulation.

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Chance Constraint formulation.

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Case Study: hydrodesulfuration process.

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Model of the plant.

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Model of the plant.

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Two stage formulation in HDS

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Two stage formulation in HDS

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Two stage formulation in HDS

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Chance constraint formulation in HDS

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Chance constraint formulation in HDS

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Chance constraint formulation in HDS

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Results for simulations.

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Results for simulations.

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Results for simulations.