An Algorithm for the Minimum-Risk Problem of Stochastic Programming

Mihai Dragomirescu
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Mihai Dragomirescu: Universität Karlsruhe, Karlsruhe, West Germany

Operations Research, 1972, vol. 20, issue 1, 154-164

Abstract: This paper presents a computational procedure for the solution—via reduction to a parametric quadratic program—of the “minimum-risk problem” associated with a stochastic linear program where costs are random variables with normal multidimensional joint distribution, i.e., for the nonlinear program max x ϵ X ( c ′ x − t )/( x ′ Vx ) 1/2 in where t is a given number, V a positive-definite matrix, and X a given convex polyhedron in n -dimensional Euclidean space R n .

Date: 1972
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