PROGRAMMING UNDER UNCERTAINTY: THE SOLUTION SET.
BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH MATHEMATICS RESEARCH LAB
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In a previous paper AD-612 896, the author described and characterized the equivalent convex program of a twostage linear program under uncertainty. It was proven that the solution set of a linear program under uncertainty is convex and derived explicit expressions for this set for some particular cases. The main result of this paper is to show that the solution set is not only convex but also polyhedral. It is also shown that the equivalent convex program of a multi-stage programming under uncertainty problem is of the form Minimize a convex function subject to linear constraints. Author