A LINEAR RISK MODEL
Abstract
A special structure optimization model is presented which includes many of the single variable risk problems that are encountered in operational problems. A risk function is assumed which is a piece-wise linear function of some random variable whose distribution is known; one seeks the value of the decision variable which minimizes expected risk. In this paper are presented the necessary and sufficient conditions for this optimization for random vari-ABLES WHICH ARE EITHER CONTINUOUSLY OR DISCRETELY DISTRIBUTED. The important special case of a continuous risk function is discussed; multiple risk problems with a joint constraint ar analyzed; and the change in policy for a small change in the distribution of the random variable is investigated. Examples illustrate the application of the model. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 28, 1961
- Accession Number
- AD0260609
Entities
People
- William S. Jewell
Organizations
- University of California, Berkeley