Accession Number : AD0633427

Title :   STATISTICAL DECISION ANALYSIS OF STOCHASTIC LINEAR PROGRAMMING PROBLEMS.

Descriptive Note : Technical paper,

Corporate Author : RESEARCH ANALYSIS CORP MCLEAN VA

Personal Author(s) : Bracken,Jerome ; soland,Richard M.

Report Date : FEB 1966

Pagination or Media Count : 30

Abstract : This paper presents a statistical decision analysis of a one-stage linear programming problem with deterministic constraints and stochastic criterion function. Procedures for obtaining numerical results are given that are applicable to any problem having this general form. After stating the statistical decision problems to be considered, the expected value of perfect information and the expected value of sample information are discussed. In obtaining these quantities, use is made of the distribution of the optimal value of the linear programming problem with stochastic criterion function; therefore Monte Carlo and numerical integration procedures for estimating the mean of this distribution are discussed. The case in which the random criterion vector has a multivariate Normal distribution is presented separately, and more detailed methods are offered. (Author)

Descriptors :   (*LINEAR PROGRAMMING, *STOCHASTIC PROCESSES), (*DECISION THEORY, LINEAR PROGRAMMING), MONTE CARLO METHOD, DISTRIBUTION THEORY

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE