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Discrete Stochastic Programming

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  • K. D. Cocks

    (University of California, Davis)

Abstract

A method is presented for solving linear programming problems where (any number of) the functional, restraint, and input-output coefficients are subject to discrete; probability distributions. The objective function is formulated in terms of variance and/or expectation. The procedure involves the simultaneous generation of all (mutually exclusive) possible outcomes and hence the transference of all variability into the objective function of a very much enlarged linear program.

Suggested Citation

  • K. D. Cocks, 1968. "Discrete Stochastic Programming," Management Science, INFORMS, vol. 15(1), pages 72-79, September.
    • Handle: RePEc:inm:ormnsc:v:15:y:1968:i:1:p:72-79
    DOI: 10.1287/mnsc.15.1.72
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