Accession Number : ADA141393
Title : The Duality between Expected Utility and Penalty in Stochastic Linear Programming.
Descriptive Note : Research rept.,
Corporate Author : TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES
Personal Author(s) : Ben-Tai,A ; Teboulle,M
PDF Url : ADA141393
Report Date : Dec 1983
Pagination or Media Count : 17
Abstract : This document studies the dual problem corresponding to a linear program in which the stochastic objective function is replaced by its expected utility, and discusses its relevance as a penalty method to a stochastically constrained dual linear program.
Descriptors : *Linear programming, *Stochastic processes, Decision theory, Penalties, Functions(Mathematics), Decision making, Mean, Analysis of variance, Approximation(Mathematics)
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE