STATISTICAL DECISION ANALYSIS OF STOCHASTIC LINEAR PROGRAMMING PROBLEMS.
RESEARCH ANALYSIS CORP MCLEAN VA
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This paper presents a statistical decision analysis of a one-stage linear programming problem with deterministic constraints and stochastic criterion function. Procedures for obtaining numerical results are given that are applicable to any problem having this general form. After stating the statistical decision problems to be considered, the expected value of perfect information and the expected value of sample information are discussed. In obtaining these quantities, use is made of the distribution of the optimal value of the linear programming problem with stochastic criterion function therefore Monte Carlo and numerical integration procedures for estimating the mean of this distribution are discussed. The case in which the random criterion vector has a multivariate Normal distribution is presented separately, and more detailed methods are offered. Author
- Operations Research