In solving an optimisation problem with uncertain input parameters, we are using Monte Carlo simulation (MCS) and scenario reduction to arrive at a number of scenarios with their associated probabilities. Optimisation algorithm outputs decision variables for different scenarios. For example, the power of a generator at different scenarios; Assume that in a generation scheduling problem with Ng generators, at scenario 1 with probability 0.3 power of generator 1 is 12, at scenario 2 with probability 0.2 power of generator 1 is 17 and at scenario 3 with probability 0.5 power of generator 1 is 9. Then in practice, how the decision maker must set the power of this generator?

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