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Capacity Expansion in Stochastic Flow Networks

Published online by Cambridge University Press:  27 July 2009

Christos Alexopoulos  and
George S. Fishman
Christos Alexopoulos
Affiliation:
Department of Operations Research University of North Carolina, Chapel Hill, North Carolina 27599
George S. Fishman
Affiliation:
Department of Operations Research University of North Carolina, Chapel Hill, North Carolina 27599
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Abstract

Sensitivity analysis represents an important aspect of network flow design problems. For example, what is the incremental increase in system flow of increasing the diameters of specified pipes in a water distribution network? Although methods exist for solving this problem in the deterministic case, no comparable methodology has been available when the network's arc capacities are subject to random variation. This paper provides this methodology by describing a Monte Carlo sampling plan that allows one to conduct a sensitivity analysis for a variable upper bound on the flow capacity of a specified arc. The proposed plan has two notable features. It permits estimation of the probabilities of a feasible flow for many values of the upper bound on the arc capacity from a single data set generated by the Monte Carlo method at a single value of this upper bound. Also, the resulting estimators have considerably smaller variancesthan crude Monte Carlo sampling would produce in the same setting. The success of the technique follows from the use of lower and upper bounds on eachprobability of interest where the bounds are generated from an established method of decomposing the capacity state space.

Type
Articles
Information
Probability in the Engineering and Informational Sciences , Volume 6 , Issue 1 , January 1992 , pp. 99 - 118
Copyright
Copyright © Cambridge University Press 1992

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