Probabilistic linear programming problems with exponential random variables: A technical note

被引：30
|
作者：
Biswal, MP [1 ]
Biswal, NP
Li, DA
机构：
[1] Indian Inst Technol, Dept Math, Kharagpur 721302, W Bengal, India
[2] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Peoples R China
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 1998年 / 111卷 / 03期
关键词：
probabilistic linear programming; exponential random variable; probability density function; non-linear programming;
D O I：
10.1016/S0377-2217(97)90319-2
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
A method for solving probabilistic linear programming problems with exponential random variables is presented in this paper. Assuming that either some or all of the parameters are exponential random variables a transformation is presented to convert the probabilistic linear programming problem to a deterministic mathematical programming problem. A non-linear programming algorithm can then be used to solve the resulting deterministic problem. (C) 1998 Elsevier Science B.V. All rights reserved.
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页码：589 / 597
页数：9
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