Accession Number : AD0738471
Title : Bounds for Stochastic Convex Programs.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CALIF OPERATIONS RESEARCH HOUSE
Personal Author(s) : Pollatschek,M. A.
Report Date : FEB 1972
Pagination or Media Count : 28
Abstract : A maximization of a concave function subject to convex inequalities is considered when the righthand side of the inequalities are random variables. Bounds are established for the distribution function of the optimum under these general assumptions for the normally and uniformly distributed righthand sides. Four kinds of bounds are shown to be the best in the sense that in extreme cases they are equal to the actual probability function itself. The approach is demonstrated on a simple example and the influence of the problem-dimensionality is discussed. (Author)
Descriptors : (*MATHEMATICAL PROGRAMMING, DISTRIBUTION FUNCTIONS), CONVEX SETS, STOCHASTIC PROCESSES, INEQUALITIES, RANDOM VARIABLES, NONLINEAR PROGRAMMING
Subject Categories : Operations Research
Distribution Statement : APPROVED FOR PUBLIC RELEASE