OPTIMAL DECISION RULES FOR THE E MODEL OF CHANCE-CONSTRAINED PROGRAMMING

Abstract

The first five sections of this paper contain an introduction to the topic of chance-constrained programming. Then the general n-period expectation- objective model of chance-constrained programming is presented and certain necessary conditions are established for decision rules to be optimal for such a model. The question of the consistency of the constraints and the finiteness of the optimal value of the objective function for such problems is discussed and several methods of resolving these questions are presented. The simplification that results when the chance-constrained problem is treated as a problem of linear programming under uncertainty is also discussed. The paper is concluded by solving two two-stage problems.

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1965
Accession Number
AD0623094

Entities

People

  • Abraham Charnes
  • Michael J. Kirby

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  • C4I
  • Human Systems

DTIC Thesaurus Topics

  • Computer Programming
  • Consistency
  • Convex Programming
  • Convex Sets
  • Distribution Functions
  • Game Theory
  • Identities
  • Joints
  • Linear Programming
  • Literature
  • Observation
  • Optimization
  • Probability
  • Production
  • Random Variables
  • Theorems
  • Uncertainty

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  • Operations Research
  • Regression Analysis.