Authors
Francesca Maggioni, Stein W Wallace
Publication date
2012/11
Journal
Annals of Operations Research
Volume
200
Pages
37-54
Publisher
Springer US
Description
Stochastic programs are usually hard to solve when applied to real-world problems; a common approach is to consider the simpler deterministic program in which random parameters are replaced by their expected values, with a loss in terms of quality of the solution. The Value of the Stochastic Solution—VSS—is normally used to measure the importance of using a stochastic model. But what if VSS is large, or expected to be large, but we cannot solve the relevant stochastic program? Shall we just give up? In this paper we investigate very simple methods for studying structural similarities and differences between the stochastic solution and its deterministic counterpart. The aim of the methods is to find out, even when VSS is large, if the deterministic solution carries useful information for the stochastic case. It turns out that a large VSS does not necessarily imply that the deterministic solution is useless for the …
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