Discrete Stochastic Programming

K. D. Cocks
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K. D. Cocks: University of California, Davis

Management Science, 1968, vol. 15, issue 1, 72-79

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.

Date: 1968
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