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.

引用

页码：589 / 597

页数：9

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