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The Triangular E-Model of Chance-Constrained Programming with Stochastic A-Matrix

Author

Listed:
  • Willy F. Gochet

    (C.O.R.E. and Department of Applied Economics, Katholieke Universiteit te Leuven)

  • Manfred W. Padberg

    (International Institute of Management, Science Center Berlin)

Abstract

The triangular model of chance-constrained programming with stochastic A-matrix and deterministic right-hand side is considered. The use of conditional probabilities makes it possible to solve this problem for any type of distribution function of the elements of the A-matrix provided that there is only one decision variable at each stage. The extension of the model to several decision variables per stage is possible under certain conditions and for special distribution (stable distributions) of the elements of A.

Suggested Citation

  • Willy F. Gochet & Manfred W. Padberg, 1974. "The Triangular E-Model of Chance-Constrained Programming with Stochastic A-Matrix," Management Science, INFORMS, vol. 20(9), pages 1284-1291, May.
    • Handle: RePEc:inm:ormnsc:v:20:y:1974:i:9:p:1284-1291
    DOI: 10.1287/mnsc.20.9.1284
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