Technical Note—A Class of Stochastic Mathematical Programs with Correlated Scale Parameters in the Objective and Right-Hand Side

A. L. Soyster, R. D. Foley and F. H. Murphy
Additional contact information
A. L. Soyster: The Pennsylvania State University, University Park, Pennsylvania
R. D. Foley: Virginia Polytechnic Institute and State University, Blacksburg, Virginia
F. H. Murphy: Temple University, Philadelphia, Pennsylvania

Operations Research, 1984, vol. 32, issue 4, 945-951

Abstract: This note studies a class of stochastic programs with scale parameters in the objective function and right-hand side. Linear programs are an important special case of this class. The scale parameters are a pair of jointly distributed random variables. The basic issue addressed is the type of biases introduced by replacing the random variables by their expected values. As one would expect, the covariance between the random variables is of central importance. Depending upon the sign of the covariance, the objective value of the program, in which the random variables are replaced by their expected values, is greater or lesser than the expected objective function value of the stochastic program.

Keywords: 639 stochastic objective and right-hand side parameters; 655 correlated scale parameters (search for similar items in EconPapers)
Date: 1984
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1287/opre.32.4.945 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:32:y:1984:i:4:p:945-951

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().