A Stochastic Approach to Goal Programming

Bruno Contini
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Bruno Contini: Fondazione Luigi Einaudi, Torino, Italy

Operations Research, 1968, vol. 16, issue 3, 576-586

Abstract: This paper deals with the problem of attaining a set of targets (goals) by means of a set of instruments (subgoals) when the relation between the two groups of variables can be expressed with a linear system of stochastic equations. The objective function consists of the maximization of the probability that a realization (in terms of target variables) will lie in a confidence region of predetermined size. Under suitable normality assumptions this problem is amenable to a quadratic programming formulation.

Date: 1968
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