USE OF THE 'EXPECTED VALUE SOLUTION' IN LINEAR PROGRAMMING UNDER UNCERTAINTY,

Abstract

The use of two methods in the one-stage stochastic linear program is discussed: (1) replacing the random elements by their expected values (the 'expected-value solution'); and (2) replacing the random elements by pessimistic estimates of their values (the 'fat' technique). The one-stage problem and the two-stage problem are described, and the relation between the 'fat' techniques used in the one-stage problem and the so-called 'slack' techniques useful in the two-stage problem is demonstrated.

Document Details

Document Type
Technical Report
Publication Date
Mar 11, 1960
Accession Number
AD0613618

Entities

People

  • Albert Madansky

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Computer Programming
  • Convex Programming
  • Interdisciplinary Science
  • Linear Programming
  • Mathematical Programming
  • Mathematics
  • Operations Research
  • Uncertainty

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Game Theory.