Stochastic Linear Programming

Masatoshi Sakawa, Hitoshi Yano and Ichiro Nishizaki
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Masatoshi Sakawa: Hiroshima University
Hitoshi Yano: Nagoya City University
Ichiro Nishizaki: Hiroshima University

Chapter Chapter 5 in Linear and Multiobjective Programming with Fuzzy Stochastic Extensions, 2013, pp 149-196 from Springer

Abstract: Abstract In this chapter, after overviewing elementary probability, two-stage programming and chance constrained programming are explained in detail. In two-stage programming, a shortage or an excess arising from the violation of the constraints is penalized, and then the expectation of the amount of the penalties for the constraint violation is minimized. In contrast, chance constrained programming admits random data variations and permits constraint violations up to specified probability limits, and its formulation is somewhat variable, including the expectation model, the variance model, the probability model, and the fractile model.

Keywords: Objective Function; Linear Programming Problem; Normal Random Variable; Expectation Model; Chance Constraint (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/978-1-4614-9399-0_5

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