Decision Problems Under Risk and Chance Constrained Programming: Dilemmas in the Transition

Some important conceptual problems concerning the application of chance constrained programming (CCP) to risky practical decision problems are discussed by comparing CCP to stochastic programming with recourse (SPR). We expand on Garstka's distinction between mathematical equivalence and economic equivalence showing that much of practical usefulness is lost in the transition between SPR and CCP. By examining the literature on CCP applications we conclude that there is little evidence that CCP is used with the care that is necessary. Finally we conclude that CCP is seriously deficient as a modeling technique and of limited value as a computational device.

• 저널Management Science · 27(6) · 698–716
• 토픽Optimization and Mathematical Programming · Control and Systems Engineering
• DOI10.1287/mnsc.27.6.698
• 저자Andrew J. Hogan, James Morris, Howard E. Thompson