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Chance‐constrained linear programming with location scale distributions

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  • Linguo Gong

Abstract

M. Kress, in 1984, studied the chance‐constrained critical path problem. The author proved that if the project time random variables follow a class of location‐scale probability distributions, then there exists a specific threshold confidence level, such that the critical path for the system remains the same for all higher confidence levels. The purpose of this article is to study the similar properties for a general chance‐constrained linear programming (C2LP) problems with location‐scale probability distributions. We present results for chance‐constrained linear programming which parallel those in Kress's article. © 1992 John Wiley & Sons, Inc.

Suggested Citation

  • Linguo Gong, 1992. "Chance‐constrained linear programming with location scale distributions," Naval Research Logistics (NRL), John Wiley & Sons, vol. 39(7), pages 997-1007, December.
    • Handle: RePEc:wly:navres:v:39:y:1992:i:7:p:997-1007
    DOI: 10.1002/1520-6750(199212)39:73.0.CO;2-M
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    References listed on IDEAS

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    1. Kress, Moshe, 1984. "The chance constrained critical path with location-scale distributions," European Journal of Operational Research, Elsevier, vol. 18(3), pages 359-363, December.
    2. A. Charnes & W. W. Cooper & G. L. Thompson, 1964. "Critical Path Analyses Via Chance Constrained and Stochastic Programming," Operations Research, INFORMS, vol. 12(3), pages 460-470, June.
    3. A. Charnes & W. W. Cooper, 1963. "Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints," Operations Research, INFORMS, vol. 11(1), pages 18-39, February.
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