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Technical Note

Univariate Stochastic Programming with Random Decision Variable

Pages 957-959 | Published online: 20 Dec 2017
 

Abstract

The problem of minimising E(X) subject to the constraints X ⩾ 0, P(Xb) ⩾ a(0 < a < 1) has been considered, where b is a non-negative random variable with continuous probability distribution. A necessary and sufficient condition for randomised decisions to be superior to the non-randomised one has been derived.

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