Accession Number : ADA119553

Title :   Chance Constrained Programming Methods in Probabilistic Programming.

Descriptive Note : Research rept.,


Personal Author(s) : Charnes,A ; Cooper,W W

PDF Url : ADA119553

Report Date : Mar 1982

Pagination or Media Count : 18

Abstract : This is a response to the article 'Decision Problems Under Risk and Chance Constrained Programming: Dilemmas in the Transition' (25) in which Professors Hogan, Morris and Thompson (HMT hereafter) recommend abandonment of Chance Constrained Programming (=CCP) in favor of Stochastic Programming with Recourse (=SPR)--which we shall also refer to as 2-stage Linear Programming Under Uncertainty (=LPUU) since this is the main variant of SPR which is relied upon for these conclusions in (25). In the interest of clarity and brevity, we do not pursue all of the topics covered in (25) since, as will become evident, a rather lengthy response is required to chase down even major issues. We also believe that (25) is directed to conceptual rather than practical issues of application and so, also for brevity, we brush aside qualifiers that appear in statements like the following: 'We wish to emphasize that recourse problems characterize almost all (sic) real decision problems involving risk.' Except for possibly affording some degree of protection to HMT, we do not see that such qualifiers serve any useful purpose.

Descriptors :   *Computer programming, *Probability, *Management planning and control, Stochastic processes, Methodology, Response, Decision making, Problem solving, Linear programming, Cybernetics

Subject Categories : Administration and Management
      Statistics and Probability
      Computer Programming and Software

Distribution Statement : APPROVED FOR PUBLIC RELEASE