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Abstract

In a companion report we studied the use of statistical decision analysis for investigating R&D energy projects. In this paper we examine the feasibility of using stochastic programming methods in the same context. The set of possible R&D decisions and random events relevant to the problem is again structured as a decision tree. For each R&D strategy, the decision tree reduces to a pure event tree where the availability of the different technologies and their cost are known on each branch. The optimal investment strategy on the tree can then be studied by stochastic programming methods in order to arrive at a valuation of the R&D strategy. The report discusses the structuring of the R&D process, the existing stochastic programming methodologies available and the difficulties encountered in their application.

Additional information

Authors: DE GROOTE X, FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM);LOUVEAUX F, FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM);PONCELET A M, FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM);SMEERS Y FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM), FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM), FACULTES UNIVERSITAIRES N.D. DE LA PAIX, NAMUR (BELGIUM);UNIVERSITE CATHOLIQUE DE LOUVAIN - CORE, LOUVAIN-LA-NEUVE (BELGIUM)
Bibliographic Reference: EUR 9196 EN, VOL.2, (1984) MF, 72 P., BFR 120, BLOW-UP COPY BFR 360, EUROFFICE, LUXEMBOURG, POB 1003
Availability: Can be ordered online
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