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

Willy Gochet | Zendy; Manfred Padberg | Zendy

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

Author(s) -

Willy Gochet,

Manfred Padberg

Publication year - 1974

Publication title -

management science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 4.954

H-Index - 255

eISSN - 1526-5501

pISSN - 0025-1909

DOI - 10.1287/mnsc.20.9.1284

Subject(s) - extension (predicate logic) , matrix (chemical analysis) , mathematics , mathematical optimization , random variable , variable (mathematics) , stochastic programming , conditional probability distribution , computer science , statistics , mathematical analysis , materials science , composite material , programming language

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.

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