Optimal randomized decision rule in univariate stochastic programming

MaRDI QIDQ800832zbMATH OpenFDO

Authors Rahul Mukerjee

Publication date 1984

Published in Opsearch (Search for Journal in Brave)

zbMATH Keywords

geometric significanceoptimal randomized decision ruleunivariate stochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Review text

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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Cited in

(3)

• A note on duality theorems in mass transportation
• Optimal Individualized Decision Rules Using Instrumental Variable Methods
• Optimizing an objective function under a bivariate probability model

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