The Deterministic Equivalents of Chance-Constrained Programming
AbstractThree concepts combine to show both the feasibility and desirability of incorporating probability within programming models. First, the reliability of estimates obtained by using Chebyshev's inequality increases as variation measured by the coefficient of variation, declines. Second, the coefficient of variation can be substantially reduced by the use of the mean and variance of a truncated normal distribution. Third, chance-constrained programming can be converted into deterministic equivalent quadratic programming by using the parameters of a truncated normal distribution.
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Bibliographic InfoArticle provided by United States Department of Agriculture, Economic Research Service in its journal Journal of Agricultural Economics Research.
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Chance-constrained programming; quadratic risk programming; truncated normal distribution; Chevyshev's inequality; Production Economics;
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- A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
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