Open AccessNote—Response
Author(s) -
R. Jagannathan
Publication year - 1987
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.33.10.1229
Subject(s) - counterexample , stochastic programming , mathematical economics , simple (philosophy) , mathematics , sample (material) , linear programming , function (biology) , computer science , mathematical optimization , discrete mathematics , philosophy , chemistry , epistemology , chromatography , evolutionary biology , biology
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.chance-constrained programming