OPTIMAL DECISION RULES FOR THE TRIANGULAR E MODEL OF CHANCE-CONSTRAINED PROGRAMMING
RESEARCH ANALYSIS CORP MCLEAN VA
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The paper deals with an n-period E model of chance-constrained programming in which each period j 1,...,n generates exactly one new constraint. It is shown that there are cases in which the problem can be reduced to one of solving n rather simple one-variable nonlinear programming problems. The results of this paper are illustrated by means of an example giving the solution of a two-period problem of planning for liquidity in a savings and loan association.
- Operations Research