A Unified Parametric Quadratic Programming Solution to some Stochastic Linear Programming Models.

Abstract

In this paper, we consider deterministic models for a stochastic linear program with a constant feasible region and stochastic cost coefficients having multi-variate normal distribution. Relationships among the solutions of these models are examined and it is shown that solving a parametric quadratic program associated with Markowitz's mean-variance model yields solutions to all other models considered for all relevant values of parameters. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1978
Accession Number
ADA064039

Entities

People

  • Ikuyo Kaneko
  • Masakazu Kojima

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Computational Science
  • Engineering
  • Evolutionary Algorithms
  • Industrial Engineering
  • Linear Programming
  • Mathematical Programming
  • Mathematics
  • Normal Distribution
  • Operations Research
  • Probability Distributions
  • Quadratic Programming
  • Random Variables
  • Simplex Method
  • Universities
  • Wisconsin

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Operations Research