Note---Response to "Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models": On the "Bayesability" of CCP's

Irving H. LaValle
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Irving H. LaValle: A. B. Freeman School of Business, Tulane University, New Orleans, Louisiana 70118

Management Science, 1987, vol. 33, issue 10, 1224-1228

Abstract: Jagannathan's (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96--108.) invocation of a utility function for a chance-constrained programming problem [CCPP] produces a Bayesian utility maximation problem [BUMP] which is not equivalent to the given CCPP. Therefore, the nonanomalous behavior shown to characterize information value in the BUMP does not refute examples such as Blau's (Blau, R. A. 1974. Stochastic programming and decision analysis: An apparent dilemma. Management Sci. 21 271--276.).

Keywords: utility theory; chance-constrained programming; decision analysis (search for similar items in EconPapers)
Date: 1987
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