The Triangular E-Model of Chance-Constrained Programming with Stochastic A-Matrix

Willy F. Gochet and Manfred W. Padberg
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Willy F. Gochet: C.O.R.E. and Department of Applied Economics, Katholieke Universiteit te Leuven
Manfred W. Padberg: International Institute of Management, Science Center Berlin

Management Science, 1974, vol. 20, issue 9, 1284-1291

Abstract: The triangular model of chance-constrained programming with stochastic A-matrix and deterministic right-hand side is considered. The use of conditional probabilities makes it possible to solve this problem for any type of distribution function of the elements of the A-matrix provided that there is only one decision variable at each stage. The extension of the model to several decision variables per stage is possible under certain conditions and for special distribution (stable distributions) of the elements of A.

Date: 1974
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:20:y:1974:i:9:p:1284-1291

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