SOME SPECIAL P-MODELS IN CHANCE-CONSTRAINED PROGRAMMING.

This paper establishes sufficient conditions for decision rules to be optimal for two n-period P-models of chance-constrained programming. The models considered are the triangular model with total probability constraints and the block triangular model with conditional probability constraints. It is shown that, for both these models, a sufficient condition for optimality is that the decision rule be the optimal piecewise linear rule. Proofs of theorems are based on results contained in earlier papers by the authors, on n-period E-models of chance-constrained programming. [ABSTRACT FROM AUTHOR]