Chance-Constrained Programming

A new conceptual and analytical vehicle for problems of temporal planning under uncertainty, involving determination of optimal (sequential) stochastic decision rules is defined and illustrated by means of a typical industrial example. The paper presents a method of attack which splits the problem into two non-linear (or linear) programming parts, (i) determining optimal probability distributions, (ii) approximating the optimal distributions as closely as possible by decision rules of prescribed form.

• 저널Management Science · 6(1) · 73–79
• 토픽Complex Systems and Decision Making · Management Science and Operations Research
• DOI10.1287/mnsc.6.1.73
• 저자A. Charnes, W. W. Cooper