A Unified Parametric Quadratic Programming Solution to some Stochastic Linear Programming Models.
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WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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In this paper, we consider deterministic models for a stochastic linear program with a constant feasible region and stochastic cost coefficients having multi-variate normal distribution. Relationships among the solutions of these models are examined and it is shown that solving a parametric quadratic program associated with Markowitzs mean-variance model yields solutions to all other models considered for all relevant values of parameters. Author
- Statistics and Probability
- Operations Research