Some Special P-Models in Chance-Constrained Programming

This paper establishes sufficient conditions for decision rules to be optimal for two n-penod P-models of chance-constrained programming. The models considered are the triangular model with total probability constraints and the block triangular model with conditional probability constraints. It is shown that, for both these models, a sufficient condition for optimality is that the decision rule be the optimal piecewise linear rule. Proofs of theorems are based on results contained in earlier papers by the authors, on n-penod E-models of chance-constrained programming.

• 저널Management Science · 14(3) · 183–195
• 토픽Optimization and Mathematical Programming · Control and Systems Engineering
• DOI10.1287/mnsc.14.3.183
• 저자A. Charnes, Michael Kirby