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ON THE OBJECTIVE FUNCTION FOR THE SEQUENTIAL P-MODEL OF CHANCE-CONSTRAINED PROGRAMMING.
- Source :
- Operations Research; Jan/Feb71, Vol. 19 Issue 1, p105-114, 10p
- Publication Year :
- 1971
-
Abstract
- The P-model objective of chance-constrained programming reflects the desire of management to maximize the probability of achieving or exceeding a given level of performance. This paper explores the implications of being able to make a sequence of decisions with the P-model objective function, and introduces some new possibilities for the P-model objective function that arise from the sequential nature of the problem. However, it is shown that, except for a special form of the objective function, the maximization in the sequential problem is not of a quasiconcave function, so that local optimality conditions are not sufficient to guarantee that a proposed solution is a global optimum. An example is worked out in detail to illustrate the computations involved for the objectives considered. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0030364X
- Volume :
- 19
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 8736347
- Full Text :
- https://doi.org/10.1287/opre.19.1.105