An Approach to Linear Programming under Uncertainty

Salah E. Elmaghraby
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Salah E. Elmaghraby: Engineering Research Center, Western Electric Company, Princeton, New Jersey

Operations Research, 1959, vol. 7, issue 2, 208-216

Abstract: A solution is given to a programming problem under uncertainty when the distribution function of demand is discrete and the cost structure assumes a certain type. The resulting objective function is convex, but not necessarily separable. With a rather simple change in variables, the solution of the stochastic problem is shown to be equivalent to the solution of a linear program.

Date: 1959
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