ON THE OBJECTIVE FUNCTION FOR THE SEQUENTIAL P-MODEL OF CHANCE-CONSTRAINED PROGRAMMING.
Abstract
The P-Model objective of chance-constrained programming reflects the desire of management to maximize the probability of achieving or exceeding a given level of performance. In the paper, the implications of being able to make a sequence of decisions with the P-Model objective function are explored. Some new possibilities for the P-Model objective function, that arise from the sequential nature of the problem, are introduced. It is shown, however, that except for a special form of the objective function, the maximization in the sequential problem is not of a quasi-concave function so that local optimality conditions are not sufficient to guarantee that a proposed solution is a global optimum. An example is worked out in detail to illustrate the computations involved for the objectives considered in the paper.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1969
- Accession Number
- AD0699535
Entities
People
- John V. Soden
- Robert S. Kaplan
Organizations
- Carnegie Mellon University