Warning: variable argument to random function Normal (simulation based optimization)

[Jun Zhao]

Hi everyone,

Thanks very much for your help in advance!

I am trying to write an optimization problem based on simulation. Specifically, I have an unknown variable that is the variance of a normal distribution I would like to solve by maximizing some objective function. This objection function involves a sample mean of some complicated expression, where this sample mean is calculated based on a series (1000) of random draws from the normal distribution.

So I declare a variable, which is the variance first:

var theta_y >= 0.00001;

Then I declare a series of random draws as:

var state_y {SIM};

where SIM is just a set of length 1000 (for example) meaning the number of draws.

Then I add the following constraint after the objective function:

subject to Random_State {j in SIM}: state_y[j] = Normal(0, theta_y);

However, this gives me the following warning:

Warning:
line 63 offset 2090
variable argument to random function Normal
context:  subject to Random_State {j in SIM}: state_y[j] = Normal(0,  >>> theta_y) <<< ;

And I cannot solve this optimization problem

Thanks again very much for your help!

All the best,

Jun

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