Accession Number : AD0783025

Title :   Stable Stochastic Linear Programs and Applications.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CALIF DEPT OF OPERATIONS RESEARCH

Personal Author(s) : Berneanu,Bernard

Report Date : NOV 1973

Pagination or Media Count : 30

Abstract : A class of stochastic linear programs termed stable stochastic linear programs defined in terms of convergence of sequences of stochastic linear programs is introduced. A sufficient regularity condition for such stability is given, slightly stronger than the necessary and sufficient condition that a stochastic linear program (SLP) have optimal value altogether. Applications of this regularity condition to Monte Carlo methods, numerical solution of the distribution problem and two-stage programming are given. (Author)

Descriptors :   *Linear programming, Stochastic processes, Probability density functions, Theorems, Monte Carlo method

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE