Abstract
Motivated by a model introduced by Moiseev, we consider a problem of optimal investment into agricultural infrastructure (irrigation, storage) under uncertainty (demand, yield coefficients of soil). Unlike the risk-neutral approach of Moiseev, we formulate a risk-averse model based on joint probabilistic or chance constraints. We assume the random vector to obey a continuous Gaussian distribution. The probabilities of satisfying the demand of cereals and of not wasting excess harvest up to some given thresholds are calculated in dependence on the investment decisions in a multiperiod setting. Numerical results are presented for a small-dimensional example.
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Acknowledgements
Author R.H. acknowledges support by the DFG Collaborative Research Centre CRC/ Transregio 154 within Project B04 and by the FMJH Program GASPARD MONGE in optimization and operations research including support to this program by EDF.
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El Karfi, K., Henrion, R. & Mentagui, D. An agricultural investment problem subject to probabilistic constraints. Comput Manag Sci 19, 683–701 (2022). https://doi.org/10.1007/s10287-022-00431-1
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DOI: https://doi.org/10.1007/s10287-022-00431-1
Keywords
- Reservoir management
- Probabilistic constraints
- Agricultural investment
- Optimization with chance constraints