Inequalities for Stochastic Linear Programming Problems
Consider a linear-programming problem in which the "right-hand side" is a random vector whose expected value is known and where the expected value of the objective function is to be minimized. An approximate solution is often found by replacing the "right-hand side" by its expected value and solving the resulting linear programming problem. In this paper conditions are given for the equality of the expected value of the objective function for the optimal solution and the value of the objective function for the approximate solution; bounds on these values are also given. In addition, the relation between this problem and a related problem, where one makes an observation on the "right-hand side" and solves the (nonstochastic) linear programming problem based on this observation, is discussed.
Volume (Year): 6 (1960)
Issue (Month): 2 (January)
|Contact details of provider:|| Postal: 7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA|
Web page: http://www.informs.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:6:y:1960:i:2:p:197-204. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc)
If references are entirely missing, you can add them using this form.