Accession Number : AD0260609

Title :   A LINEAR RISK MODEL

Corporate Author : CALIFORNIA UNIV BERKELEY INST OF ENGINEERING RESEARCH

Personal Author(s) : JEWELL,WILLIAM S.

Report Date : 28 APR 1961

Pagination or Media Count : 1

Abstract : A special structure optimization model is presented which includes many of the single variable risk problems that are encountered in operational problems. A risk function is assumed which is a piece-wise linear function of some random variable whose distribution is known; one seeks the value of the decision variable which minimizes expected risk. In this paper are presented the necessary and sufficient conditions for this optimization for random vari-ABLES WHICH ARE EITHER CONTINUOUSLY OR DISCRETELY DISTRIBUTED. The important special case of a continuous risk function is discussed; multiple risk problems with a joint constraint ar analyzed; and the change in policy for a small change in the distribution of the random variable is investigated. Examples illustrate the application of the model. (Author)

Descriptors :   *LINEAR PROGRAMMING, *PROBABILITY, DISTRIBUTION THEORY, LINEAR SYSTEMS, OPERATIONS RESEARCH

Distribution Statement : APPROVED FOR PUBLIC RELEASE