Chance-constrained programming
A Charnes, WW Cooper - Management science, 1959 - pubsonline.informs.org
A Charnes, WW Cooper
Management science, 1959•pubsonline.informs.orgA new conceptual and analytical vehicle for problems of temporal planning under
uncertainty, involving determination of optimal (sequential) stochastic decision rules is
defined and illustrated by means of a typical industrial example. The paper presents a
method of attack which splits the problem into two non-linear (or linear) programming
parts,(i) determining optimal probability distributions,(ii) approximating the optimal
distributions as closely as possible by decision rules of prescribed form.
uncertainty, involving determination of optimal (sequential) stochastic decision rules is
defined and illustrated by means of a typical industrial example. The paper presents a
method of attack which splits the problem into two non-linear (or linear) programming
parts,(i) determining optimal probability distributions,(ii) approximating the optimal
distributions as closely as possible by decision rules of prescribed form.
A new conceptual and analytical vehicle for problems of temporal planning under uncertainty, involving determination of optimal (sequential) stochastic decision rules is defined and illustrated by means of a typical industrial example. The paper presents a method of attack which splits the problem into two non-linear (or linear) programming parts, (i) determining optimal probability distributions, (ii) approximating the optimal distributions as closely as possible by decision rules of prescribed form.