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