Accession Number : AD0683321
Title : A SOLUTION PROCEDURE FOR A CLASS OF MULTI-STAGE LINEAR PROGRAMMING PROBLEMS UNDER UNCERTAINTY.
Descriptive Note : Research rept.,
Corporate Author : CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
Personal Author(s) : Jagannathan,R.
Report Date : 01 NOV 1968
Pagination or Media Count : 36
Abstract : In stochastic linear programming it is necessary to distinguish two major classes of problems. First, the static models for which only one decision has to be made and second the dynamic models which involve sequential decision-making. Since more and more information will be available in succeeding periods, a dynamic model entails an adaptive policy prescription which involves a choice of decision vector for the ith period under all possible alternative realizations of the random variables observed before the ith period. A general multi-stage LP(U superscript 2) model is defined and it is proven that even under quite mild assumptions regarding the stochastic nature of the parameters of the model, it is equivalent to a convex programming problem. An algorithm is developed for solving the above convex programming problem. An approximate method is provided for solving a multi-stage capital budgeting problem under uncertainty. (Author)
Descriptors : (*MANAGEMENT PLANNING AND CONTROL, LINEAR PROGRAMMING), (*LINEAR PROGRAMMING, UNCERTAINTY), STOCHASTIC PROCESSES, DECISION MAKING, ECONOMICS, DYNAMIC PROGRAMMING, ALGORITHMS, BUDGETS
Subject Categories : Operations Research
Distribution Statement : APPROVED FOR PUBLIC RELEASE