Joint Randomized Decisions in Chance-Constrained Programming

Mukherjee has considered the problem (P) of minimizing E[X₁ + X₂] subject to

Open image in new windowb₁ is uniform over (0,2), and b₂ is uniform over (0,4), assuming b₁ and b₂ to be independent. It is shown in this paper that his solution is incorrect, and a correct solution is presented under the less restrictive assumption that X₁ and X₂ have any joint distribution.