SOME SPECIAL P-MODELS IN CHANCE-CONSTRAINED PROGRAMMING
Systems research memo.
NORTHWESTERN UNIV EVANSTON IL TECHNOLOGICAL INST
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Sufficient conditions are derived for decision rules to be optimal for two classes of n-period P-models of chance-constrained programming. It is shown that the optimal rule for period j is the optimal piecewise linear function of the decision rules of previous periods and certain fractile points. The optimal class of rules is shown to be the same for the n-period P-model as for the corresponding n-period E-model.
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