Mixed Strategies in Chance-Constrained Programming
作者:
MukherjeeS. P.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1980)
卷期:
Volume 31,
issue 11
页码: 1045-1047
ISSN:0160-5682
年代: 1980
DOI:10.1057/jors.1980.192
出版商: Taylor&Francis
数据来源: Taylor
摘要:
AbstractIn 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.
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