Admissible Decision Rules for the E-Model of Chance-Constrained Programming

Mark J. Eisner, Robert S. Kaplan and John V. Soden
Additional contact information
Mark J. Eisner: Cornell University
Robert S. Kaplan: Carnegie-Mellon University
John V. Soden: McKinsey and Co., Inc.

Management Science, 1971, vol. 17, issue 5, 337-353

Abstract: This paper is concerned with characterizing decision rules for the sequential E-model of chance-constrained programming. A key feature of our characterization will be a detailed discussion of various interpretations of the probability operator in the chance constraints. Specifically we define two new classes of decision rules by exhibiting those sets of constraints which locally support the corresponding probability requirements. The question of how the probabilistic constraints for future periods are affected by previous decisions and realizations of the random variables is considered in detail. Since we are primarily concerned with the feasibility of decision rules, we deal mainly with the constraints of the model. The procedure for selecting the optimum rule from among a particular class of feasible rules depends on the objective function and is briefly discussed in the final section along with some implications concerning the form of the optimum rule. The application of our proposed rules to a two-period example previously appearing in the literature concludes the paper.

Date: 1971
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