Stochastic Programming with Aspiration or Fractile Criteria

Arthur M. Geoffrion
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Arthur M. Geoffrion: Western Management Science Institute University of California, Los Angeles

Management Science, 1967, vol. 13, issue 9, 672-679

Abstract: The general linear programming problem is considered in which the coefficients of the objective function to be maximized are assumed to be random variables with a known multinormal distribution. Three deterministic reformulations involve, respectively, maximizing the expected value, the \alpha -fractile (\alpha fixed, 0

Date: 1967
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