Chance-Constrained Programming

A. Charnes and W. W. Cooper
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A. Charnes: The Technological Institute, Northwestern University
W. W. Cooper: Carnegie Institute of Technology

Management Science, 1959, vol. 6, issue 1, 73-79

Abstract: A new conceptual and analytical vehicle for problems of temporal planning under uncertainty, involving determination of optimal (sequential) stochastic decision rules is defined and illustrated by means of a typical industrial example. The paper presents a method of attack which splits the problem into two non-linear (or linear) programming parts, (i) determining optimal probability distributions, (ii) approximating the optimal distributions as closely as possible by decision rules of prescribed form.

Date: 1959
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