A Method for the Solution of the Distribution Problem of Stochastic Linear Programming

DOI10.1137/0126020MaRDI QIDQ4042837zbMATH OpenOpenAlexFDO

Authors James B. Ewbank, Bob L. Foote, Hillel Kumin

Publication date 1974

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11244/3245

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cited in

(4)

• Least squares approximation to the distribution of project completion times with Gaussian uncertainty
• Global sensitivity analysis via a statistical tolerance approach
• Limit laws for empirical optimal solutions in random linear programs
• Monte Carlo simulation for analysis of the optimum value distribution in stochastic mathematical programs

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