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Chance-constrained programming. (English) Zbl 0995.90600
Summary: A new conceptual and analytical vehicle for problems of temporal planning under uncertainty, involving determination of optimal (sequential) stochastic decision rules is defined and illustrated by means of a typical industrial example. The paper presents a method of attack which splits the problem into two nonlinear (or linear) programming parts, (i) determining optimal probability distributions, (ii) approximating the optimal distributions as closely as possible by decision rules of prescribed form.

MSC:
90C15 Stochastic programming
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