Nella presente Nota si sviluppa una teoria unificata della programmazione probabilistica. Questa, nell'adoperare dei vincoli probabilistici condizionali, porge una caratterizzazione delle classi ottimali di regole stocastiche di decisione. In particolare, vien stabilita l'ottimalità delle regole lineari discretizzate di decisione per la minimizzazione del valore assunto da una funzione concava di variabili di decisioni stocastiche.
Referenze Bibliografiche
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[2]
A. CHARNES and
W. W. COOPER,
Critical Path Analyses via Chance Constrained and Stochastic Programming, «
Operations Research»,
12, No. 3, May-June
1964, pp. 460-470. |
fulltext (doi) |
MR 164814 |
Zbl 0125.09602[3]
A. CHARNES,
M. J. L. KIRBY and
W. M. RAIKE,
Solution Theorems in Probabilistic Programming, «
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1967, pp. 565-582. |
fulltext (doi) |
MR 218114 |
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A. CHARNES and
M. J. L. KIRBY,
Optimal decision rules for the E-model of chance-constrained programming, «
Cahiers Centre Etudes Recherche Opérationnelle»,
8, 5-44 (
1966). |
MR 195572 |
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A. CHARNES and
M. J. L. KIRBY,
Optimal decision rules for the triangular chance-constrained programming problem. Systems Research Memorandum No. 115, Evaston, Ill., Northwestern University,
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Management Sci.» (forthcoming). |
MR 272394 |
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Stochastic programs with recourse. Seattle Wash.,
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fulltext (doi) |
MR 233589[10] A. CHARNES, W. W. COOPER and G. H. SYMONDS, Cost Horizons and Certainty Equivalents: An Approach to Stochastic Programming of Heating Oil, «Management Science», 4, No. 3, April 1958, pp. 235-263.
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A. CHARNES,
W. W. COOPER and
G. L. THOMPSON,
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Management Sci.»,
12, 83-112 (
1965). |
fulltext (doi) |
MR 194199 |
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A. CHARNES and
W. W. COOPER,
Management Models and Industrial Applications of Linear Programming, 2 vols.
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M. J. L. KIRBY,
Some special P-Models in chance-constrained programming, Systems Research Memorandum No. 135, Evanston, Ill., Northwestern University, August, 1965, «
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14, No. 3, Nov.
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fulltext (doi) |
MR 242486 |
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A. C. WILLIAMS,
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MR 209000 |
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[17]
A. CHARNES and
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1963). |
fulltext (doi) |
MR 153482 |
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1967. |
MR 194246 |
Zbl 0143.21302
Con il contributo del Ministero per i Beni e le Attività Culturali