APPLICATION OF CHANCE-CONSTRAINED PROGRAMMING TO SOLUTION OF THE SO- CALLED 'SAVINGS AND LOAN ASSOCIATION' TYPE OF PROBLEM

Abstract

This paper contains an application of chance-constrained programming to a problem in financial planning. In particular the problem is one of planning for liquidity in a savings and loan association first discussed by Charnes and Thore. The optimal rules for this problem are found and compared with the optimal linear rules given by Charnes and Thore. The discontinuous nature of the optimal rules is discussed from economic and control theory viewpoints.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1965
Accession Number
AD0625050

Entities

People

  • Abraham Charnes
  • Michael J. Kirby

Tags

Communities of Interest

  • C4I
  • Human Systems

DTIC Thesaurus Topics

  • Business Administration
  • Calculus Of Variations
  • Computer Programming
  • Control Theory
  • Distribution Functions
  • Equations
  • Fluids
  • Frequency
  • Intervals
  • Lagrangian Functions
  • Money
  • Nonlinear Programming
  • Notation
  • Probability
  • Random Variables
  • Time Intervals

Readers

  • Artificial Intelligence
  • Economics
  • Microbial Pathology