Discrete Stochastic Programming
- 1 September 1968
- journal article
- Published by Institute for Operations Research and the Management Sciences (INFORMS) in Management Science
- Vol. 15 (1) , 72-79
- https://doi.org/10.1287/mnsc.15.1.72
Abstract
A method is presented for solving linear programming problems where (any number of) the functional, restraint, and input-output coefficients are subject to discrete; probability distributions. The objective function is formulated in terms of variance and/or expectation. The procedure involves the simultaneous generation of all (mutually exclusive) possible outcomes and hence the transference of all variability into the objective function of a very much enlarged linear program.Keywords
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