Accession Number:

ADA064039

Title:

A Unified Parametric Quadratic Programming Solution to some Stochastic Linear Programming Models.

Descriptive Note:

Technical summary rept.,

Corporate Author:

WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s):

Report Date:

1978-11-01

Pagination or Media Count:

22.0

Abstract:

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

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE