Stochastic Linear Programming

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 203)


In this chapter, after overviewing elementary probability, two-stage programming and chance constrained programming are explained in detail. In two-stage programming, a shortage or an excess arising from the violation of the constraints is penalized, and then the expectation of the amount of the penalties for the constraint violation is minimized. In contrast, chance constrained programming admits random data variations and permits constraint violations up to specified probability limits, and its formulation is somewhat variable, including the expectation model, the variance model, the probability model, and the fractile model.


Objective Function Linear Programming Problem Normal Random Variable Expectation Model Chance Constraint 
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© Springer Science+Business Media New York 2013

Authors and Affiliations

  1. 1.Department of System Cybernetics Graduate School of EngineeringHiroshima UniversityHigashi-HiroshimaJapan
  2. 2.Department of Social Sciences Graduate School of Humanities and Social SciencesNagoya City UniversityNagoyaJapan

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