Accession Number : AD0699535

Title :   ON THE OBJECTIVE FUNCTION FOR THE SEQUENTIAL P-MODEL OF CHANCE-CONSTRAINED PROGRAMMING.

Descriptive Note : Research rept.,

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

Personal Author(s) : Kaplan,Robert S. ; Soden,John V.

Report Date : SEP 1969

Pagination or Media Count : 24

Abstract : The P-Model objective of chance-constrained programming reflects the desire of management to maximize the probability of achieving or exceeding a given level of performance. In the paper, the implications of being able to make a sequence of decisions with the P-Model objective function are explored. Some new possibilities for the P-Model objective function, that arise from the sequential nature of the problem, are introduced. It is shown, however, that except for a special form of the objective function, the maximization in the sequential problem is not of a quasi-concave function so that local optimality conditions are not sufficient to guarantee that a proposed solution is a global optimum. An example is worked out in detail to illustrate the computations involved for the objectives considered in the paper.

Descriptors :   (*DYNAMIC PROGRAMMING, *MANAGEMENT PLANNING AND CONTROL), OPTIMIZATION, MATHEMATICAL MODELS, DECISION THEORY, SEQUENTIAL ANALYSIS, UNCERTAINTY, MANAGEMENT PLANNING AND CONTROL

Subject Categories : Administration and Management
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE