On the distribution of the optimal value for a class of stochastic geometric programs

Paul M. Ellnert and Robert M. Stark

Naval Research Logistics Quarterly, 1980, vol. 27, issue 4, 549-571

Abstract: An approach is presented for obtaining the moments and distribution of the optimal value for a class of prototype stochastic geometric programs with log‐normally distributed cost coefficients. It is assumed for each set of values taken on by the cost coefficients that the resulting deterministic primal program is superconsistent and soluble. It is also required that the corresponding dual program has a unique optimal point with all positive components. It is indicated how one can apply the results obtained under the above assumptions to stochastic programs whose corresponding deterministic dual programs need not satisfy the above‐mentioned uniqueness and positivity requirements.

Date: 1980
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https://doi.org/10.1002/nav.3800270404

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:27:y:1980:i:4:p:549-571

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