Selecting tolerances in chance-constrained programming: A multiple objective linear programming approach (Q1058987)

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Selecting tolerances in chance-constrained programming: A multiple objective linear programming approach
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    Selecting tolerances in chance-constrained programming: A multiple objective linear programming approach (English)
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    1985
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    An importance issue concerning the practical application of chance- constrained programming is the lack of a rational method for choosing risk levels or tolerances on the chance constraints. While there has also been much recent debate on the relationship, equivalence, usefulness, and other characteristics of chance-contrained programming relative to stochastic programming with recourse, this paper focuses on the problem of improving the selection of tolerances within the chance-constrained framework. An approach is presented, based on multiple objective linear programming, which allows the decision maker to be more involved in the tolerance selection process, but does not demand a priori decisions on appropriate tolerances. An example is presented which illustrates the approach.
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    chance-constrained programming
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    selection of tolerances
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    multiple objective linear programming
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