EVPI and VSS - Stochastic Programming

[Sailesh]

Hello Everybody,

I would like to know whether there is any function which calculates
EVPI and VSS automatically when we solve stochastic programming
problem in AIMMS.

Please share the information regarding this.

Thanks
Sailesh

[Ovidiu Listes]

Hi Sailesh,

Although there is no pre-defined AIMMS function which calculates EVPI
and VSS automatically, AIMMS language provides all procedural
capabilities to easily implement such a function/procedure yourself.

For VSS: you solve the deterministic model where all stochastic
parameters are replaced by their expectations and after that you
evaluate that solution (which you fix) against all the scenarios,
computing its average performance. Then you compute VSS as the
difference between the optimal stochastic solution and that average
performance of the deterministic solution.

For EVPI: you solve each scenario in isolation and then compute the
average of the individual optimal solutions. This would be the average
performance in case of perfect information (perfect foresight). Then
you compute the EVPI as the difference between the average performance
with perfect information and the optimal stochastic solution.

In the Examples folder of the AIMMS installation directory you can
find the "Power System Expansion" example project which illustrates
scenario analysis and stochastic programming. It will be
straightforward to notice how EVPI and VSS can be computed for this
problem, and the general case would work in a similar way.

Regards,
Ovidiu Listes

Senior AIMMS Consultant

[Sailesh Reddy]

Hi Listes,

Thanks for the information!!

I will look at the example and will get back to you on this

Regards

Sailesh

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