two-stage modelling making expectation

1 次查看（过去 30 天）

bus14 2019-4-25

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/458472-two-stage-modelling-making-expectation

Hi community,

I am busy modelling a two-stage optimization problem. In this first stage, I have to make an expectation of the optimal value of the second stage E[Q(x,D)] in order to find an optimal value of X. I find it difficult to put this expectation in Matlab.In this case D is a normally distributed vector for demand. The first stage is to Min c.'*x+E[Q(x,D)] x>0The used codes are:

%first stage
%Min c.'*x+E[Q(x,D)]
c=[3]; 
E[Q(x,D)]; 
%Q(x,D)=(l-q).'*z(*)-s.'*y(*);
%s.t x=y(*)+A1.'*z(*);
f= [c.', E];%How to define E
Aeq = [];
beq = [];
lb = [0];%x>0
ub = [Inf];
sol = linprog(f,[],[],Aeq,beq,lb,ub);
x = [sol(1)] 

The second stage is Min (l-q).'*z-s.'*y

s.t. y=x-A1.'*z , 0<z<d, y>0 and its code which already works

l = 0.25;
q = 2; 
s = 1; 
A = 1;
x = 20;
d = 80;
f= [-s.', (l-q).'];
Aeq = [1, A];
beq = x;
lb = [0, 0];
ub = [Inf, d];
sol = linprog(f,[],[],Aeq,beq,lb,ub);
y = sol(1)
z = sol(2)