Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty

R. Jagannathan
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R. Jagannathan: University of Iowa, Iowa City, Iowa

Operations Research, 1977, vol. 25, issue 1, 173-177

Abstract: We consider a linear programming problem with random a ij and b i elements that have known (finite) mean and variance, but whose distribution functions are otherwise unspecified. A minimax solution of the stochastic programming model is obtained by solving an equivalent deterministic convex programming problem. We derive these deterministic equivalents under different assumptions regarding the stochastic nature of the random parameters.

Date: 1977
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