Coarse-Conditioned Chance-Constrained Programming.
CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
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The paper extends the ideas of conditioned chance-constrained programming. By the definition of kappa-measurable sequential decision functions it is possible to establish a link between zero-order rules and the sequential rules. In fact, kappa-measurable sequential decision rules contain the before mentioned decision rules as special cases. Relationships between various classes of such decision rules are discussed and a condition is derived when simple decision rules of this variety yield a higher expected value of the objective function than more complex rules. Author
- Operations Research