Research and Applications Based on Stochastic Programming and Time Series Analysis
Bingjie Tang, Xinyu Wang, Xingyu Zhou · 2024
In this paper, we use stochastic planning and ARIMA time series forecasting model to forecast the data. Drawing on the idea of the newsboy model, the optimal strategy is formulated by constructing the objective function with the maximization goal and adopting 0-1 linear programming method with practical constraints. The discount factor$\alpha$is introduced to derive the optimal strategies under different conditions, and the uncertainty of the expected key parameters is also considered in the optimization model, with special emphasis on the influence of potential risks on the formulation of the scheme. To cope with the uncertainty of multiple relevant parameters, a robust optimization method is used to ensure high reliability and stability of the decision despite parameter fluctuations, and the optimal strategy under this condition is finally derived.