Generating random deviates for a nonstationary fixed-planned rate process

Authors:
Marcos Antonio Masnik Ferreira;Celso Carnieri;Rui Carlos Botter
Affiliations:
Programa de Pós-Graduação em Métodos Numéricos em Engenharia, Universidade Federal do Paraná, Centro Politécnico, Curitiba, Paraná, Brazil;Programa de Pós-Graduação em Métodos Numéricos em Engenharia, Universidade Federal do Paraná, Brazil;Escola Politécnica, Universidade de São Paulo, Brazil
Venue:
MATH'08 Proceedings of the 13th WSEAS international conference on Applied mathematics
Year:
2008

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Abstract

This paper presents the algorithms and techniques for generating random deviates for a nonstationary fixed-planned rate process (NSFPP), which we define as a stochastic process whose arrival rate by period is determined by a future demand. In the first part, the complete model is described and its objectives and variables are presented. After that, we show the algorithms and equations that implement the solution using Mixed-Integer Linear Programming (MILP) and goal programming. We show also how to get a random sequence with a fixed number of values bounded into an interval fitted to a specified probability distribution.