A Note on Chance-Constrained Programming |
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Authors: | Wolf-Rudiger Heilmann |
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Affiliation: | 1.University of Hamburg, |
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Abstract: | A stochastic linear programme with chance constraints is considered. By allowing for the possibility of sampling, a so-called dynamic statistical decision model is developed, and the existence of an optimal decision rule is shown under appropriate continuity and compactness assumptions. |
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Keywords: | |
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