Probabilistic Linearly Constrained Programming Problems with Lognormal Random Variables

被引：0
|
作者：
M. P. Biswal
N. P. Sahoo
Duan Li
机构：
[1] Indian Institute of Technology,Department of Mathematics
[2] The Chinese University of Hong Kong,Department of Systems Engineering and Engineering Management
来源：
OPSEARCH | 2005年 / 42卷 / 1期
关键词：
Probabilistic programming; chance constraint; lognormal distribution; geometric inequality; deterministic approximation; non-linear programming;
D O I：
10.1007/BF03398714
中图分类号：
学科分类号：
摘要：
A solution scheme for solving probabilistic linearly constrained programming problems involving lognormal random variables is presented in this paper. The geometric inequality is used to transform the probabilistic linearly constrained programming problem into a deterministic mathematical programming problem. A non-linear programming algorithm can be then used to solve the resulting deterministic problem.
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页码：70 / 76
页数：6
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