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EXPECTED OBJECTIVE VALUE OF A STOCHASTIC LINEAR PROGRAM AND THE DEGREE OF UNCERTAINTY OF PARAMETERS.
- Source :
- Management Science; Nov74, Vol. 21 Issue 3, p291-301, 11p
- Publication Year :
- 1974
-
Abstract
- In this paper, we characterize the relationship between the expected optimal value of a stochastic linear program and a stochastic program with recourse and the degree of uncertainty in the objective function coefficients c and the stipulation vector b. It is shown that under certain conditions the expected objective value is nondecreasing as the degree of uncertainty in c increases and the opposite is true for the case of b. The degree of uncertainty of a random vector is defined in terms of a covariance matrix. Some managerial interpretations are also given. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00251909
- Volume :
- 21
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Management Science
- Publication Type :
- Academic Journal
- Accession number :
- 7160126
- Full Text :
- https://doi.org/10.1287/mnsc.21.3.291