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Note---Response

Author

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  • R. Jagannathan

    (Harriman College of Management, Stale University of New York, Stony Brook, New York 11794)

Abstract

LaValle (LaValle, I. H. 1987. Response to `Use of sample information in stochastic recourse and chance-constrained programming models:' On the `Bayesability' of CCP's. Management Sci. 33 1224--1228.) claims that the utility function U(z, F 1 , ..., F n ) I have assumed in Jagannathan (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96--108.) must be linear in F 1 , and consequently my results pertaining to chance-constrained programming are not valid. In this note, I show through a simple counterexample that LaValle's claim is based on an erroneously stated result.

Suggested Citation

  • R. Jagannathan, 1987. "Note---Response," Management Science, INFORMS, vol. 33(10), pages 1229-1231, October.
    • Handle: RePEc:inm:ormnsc:v:33:y:1987:i:10:p:1229-1231
    DOI: 10.1287/mnsc.33.10.1229
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    Keywords

    chance-constrained programming;

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