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Dissection Methods for Solutions in Chance Constrained Programming Problems Under Discrete Distributions

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  • William M. Raike

    (The University of Texas at Austin)

Abstract

Under the assumption of discrete distributions for the random variables involved, deterministic equivalent problems are derived for a general class of chance constrained (but not necessarily linear) programming problems. These permit the explicit solution of such problems for all or most types of optimal stochastic decision rules which are of interest, including optimal multistage rules and not restricted to the class of linear rules. The formulation given encompasses certain cases of stochastic programming with recourse, and the deterministic equivalents derived for these reduce to well-known versions available in the literature.

Suggested Citation

  • William M. Raike, 1970. "Dissection Methods for Solutions in Chance Constrained Programming Problems Under Discrete Distributions," Management Science, INFORMS, vol. 16(11), pages 708-715, July.
  • Handle: RePEc:inm:ormnsc:v:16:y:1970:i:11:p:708-715
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    File URL: http://dx.doi.org/10.1287/mnsc.16.11.708
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    References listed on IDEAS

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    1. M. E. Salveson, 1956. "A Problem in Optimal Machine Loading," Management Science, INFORMS, vol. 2(3), pages 232-260, April.
    2. M. Beckman & R. Muth, 1956. "An Inventory Policy for a Case of Lagged Delivery," Management Science, INFORMS, vol. 2(2), pages 145-155, January.
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    1. repec:spr:compst:v:77:y:2013:i:2:p:265-277 is not listed on IDEAS
    2. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
    3. Martin Branda, 2013. "On relations between chance constrained and penalty function problems under discrete distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(2), pages 265-277, April.
    4. Singer, Nico, 2011. "A behavioral portfolio analysis of retirement portfolios," Thuenen-Series of Applied Economic Theory 104, University of Rostock, Institute of Economics.

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