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Heilmann, Wolf-Ruediger

A note on chance-constrained programming. (English) Zbl 0511.90080

J. Oper. Res. Soc. 34, 533-537 (1983).
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scan of Zbl 0511.90080

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MSC:

90C15 Stochastic programming
90C40 Markov and semi-Markov decision processes
90C05 Linear programming
62L05 Sequential statistical design

Keywords:

stochastic linear program; sequential decision problem; Bayes policy; chance-constrained program; stochastic process; continuity and compactness assumptions; optimal policy
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