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

Abstract

The paper deals with an n-period E model of chance-constrained programming in which each period j = 1,...,n generates exactly one new constraint. It is shown that there are cases in which the problem can be reduced to one of solving n rather simple one-variable nonlinear programming problems. The results of this paper are illustrated by means of an example giving the solution of a two-period problem of planning for liquidity in a savings and loan association.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1966
Accession Number
AD0668676

Entities

People

  • Abraham Charnes
  • Michael J. Kirby

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Calculus
  • Calculus Of Variations
  • Computer Programming
  • Coverings
  • Differential Equations
  • Discontinuities
  • Distribution Functions
  • Equations
  • Euler Equations
  • Frequency
  • Integrals
  • Joints
  • Linear Programming
  • Nonlinear Programming
  • Probability
  • Random Variables

Fields of Study

  • Mathematics

Readers

  • Operations Research