Accession Number:

AD0608990

Title:

PROGRAMMING UNDER UNCERTAINTY: THE COMPLETE PROBLEM

Descriptive Note:

Corporate Author:

BOEING SCIENTIFIC RESEARCH LABS SEATTLE WA

Personal Author(s):

Report Date:

1964-10-01

Pagination or Media Count:

54.0

Abstract:

We define the complete problem of a two-stage linear programming under uncertainty, to be Minimize zx E sub xi c x qy q-y- subject to A x b T x I y I y- xi x or O y or y- or O where x is the first-stage decision variable, the pair y, y- represents the second-stage decision variables. In order to solve this class of problem, we derive a convex programming problem, whose set of optimal solutions is identical to the set of optimal solutions of our original problem. This problem is called the equivalent convex programming. If the random variable xi has a continuous distribution, we give an algorithm to solve the equivalent convex program. Moreover, we derive explicitly the equivalent convex program for a few common distributions.

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE