Accession Number:

ADA141393

Title:

The Duality between Expected Utility and Penalty in Stochastic Linear Programming.

Descriptive Note:

Research rept.,

Corporate Author:

TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES

Personal Author(s):

• Ben-Tai,A.
• Teboulle,M.

Report Date:

1983-12-01

Pagination or Media Count:

17.0

Abstract:

This document studies the dual problem corresponding to a linear program in which the stochastic objective function is replaced by its expected utility, and discusses its relevance as a penalty method to a stochastically constrained dual linear program.

Descriptors:

• *Linear programming
• *Stochastic processes
• Decision theory
• Penalties
• Functions(Mathematics)
• Decision making
• Mean
• Analysis of variance
• Approximation(Mathematics)

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE