Optimal randomized decision rule in univariate stochastic programming (Q800832)
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scientific article; zbMATH DE number 3878689
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| English | Optimal randomized decision rule in univariate stochastic programming |
scientific article; zbMATH DE number 3878689 |
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Optimal randomized decision rule in univariate stochastic programming (English)
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1984
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The present work develops a rule for minimizing E(X) subject to \(X\geq O\), P(X\(\geq b)\geq a\) \((0<a<1)\) where b is a random variable with known continuous probability distribution. The decision variable X is treated as random. The geometric significance of the result has also been pointed out.
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optimal randomized decision rule
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univariate stochastic programming
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geometric significance
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0.7613344192504883
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0.7595171928405762
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