Chance-constrained programming

A Charnes, WW Cooper - Management science, 1959 - pubsonline.informs.org
A Charnes, WW Cooper
Management science, 1959pubsonline.informs.org
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.
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.
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