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LINEAR PROGRAMMING WITH DISCRETE STOCHASTIC RESOURCES: AN ALTERNATIVE APPROACH ACCOUNTING FOR INFEASIBILITY *
Author(s) -
Hughes Warren R.
Publication year - 1979
Publication title -
decision sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.238
H-Index - 108
eISSN - 1540-5915
pISSN - 0011-7315
DOI - 10.1111/j.1540-5915.1979.tb00003.x
Subject(s) - mathematical optimization , stochastic game , computer science , computation , extension (predicate logic) , linear programming , decision maker , stochastic programming , function (biology) , dual (grammatical number) , operations research , mathematics , algorithm , mathematical economics , evolutionary biology , biology , programming language , art , literature
In this paper an alternative to, or extension of, the chance‐constrained method of stochastic programming is presented whereby an expected cost of infeasibility is included in the objective function. The problem is to select a solution to implement before the available resources are known where the adaption of a non‐feasible solution to the resources available involves a system cost. While increasing the amount of computation required, the model enables the decision maker to more effectively trade off increased payoff for decreased likelihood of feasibility.