Econometrica: Jan 1963, Volume 31, Issue 1

A Stochastic Programming Model

https://doi.org/0012-9682(196301/04)31:1/2<181:ASPM>2.0.CO;2-F
p. 181-196

Shinji Kataoka

In this paper we propose a stochastic programming model which considers the distribution of an objective function and probabilistic constraints. Applying it to a transportation type problem, we derive a nonlinear programming problem constrained by linear inequalities and show that it can be solved by iteration of linear programming.

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