Accession Number : AD0667968

Title :   RISK AVERSION IN STOCHASTIC PROGRAMMING WITH RECOURSE.

Descriptive Note : Research rept.,

Corporate Author : CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP

Personal Author(s) : Rutenberg,David

Report Date : FEB 1968

Pagination or Media Count : 22

Abstract : In stochastic programming with recourse the objective is to maximize expected net payoff. This implicitly assumes no aversion to risk. This paper introduces risk aversion into stochastic programming with recourse. The objective becomes to maximize the expected (concave) utility of the net payoffs. Because of the special structure of the problem a number of computational short cuts are possible in the mathematical program that results. The latest representation of the gradient is but a slight modification of the latest representation of the linear objective function without risk aversion. All the second stage problems can be solved as linear programs. Unfortunately it appears necessary to solve the first stage problem as a non-linear program. (Author)

Descriptors :   (*MATHEMATICAL PROGRAMMING, *STOCHASTIC PROCESSES), GAME THEORY, PROBABILITY, CURVE FITTING, ITERATIONS, LINEAR PROGRAMMING, NONLINEAR SYSTEMS, VECTOR ANALYSIS, EQUATIONS, MATRICES(MATHEMATICS), UNCERTAINTY, MINIMAX TECHNIQUE, ALGORITHMS, DECISION MAKING, MANAGEMENT PLANNING AND CONTROL

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE