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Mixed strategies in chance-constrained programming
Published in STOCKTON PRESS
1980
Volume: 31
   
Issue: 11
Pages: 1045 - 1047
Abstract
In usual stochastic programming problems involving randomly distributed “resources” and chance constraints, decision variables are taken as deterministic. With the help of simple illustrations involving a single decision variable, Vajda and Greenberg showed that minimum expected values could be made smaller by treating the decision variable as random. This idea has been extended here to the case of two decision variables. The difficulty of finding an optimal mixed strategy in the case of an infinite-range distribution of the decision variable(s) has also been shown. © 1980 Operational Research Society Ltd.
About the journal
JournalJournal of the Operational Research Society
PublisherSTOCKTON PRESS
ISSN0160-5682