风险下的决策问题与机会约束规划:转型中的困境

Decision Problems Under Risk and Chance Constrained Programming: Dilemmas in the Transition

Management Science · 1981
被引 87
人大 A+FT50UTD24ABS 4*

中文导读

通过比较机会约束规划与带补偿的随机规划,指出前者在应用于实际风险决策时存在概念问题,并认为其作为建模技术有严重缺陷,计算价值有限。

Abstract

Some important conceptual problems concerning the application of chance constrained programming (CCP) to risky practical decision problems are discussed by comparing CCP to stochastic programming with recourse (SPR). We expand on Garstka's distinction between mathematical equivalence and economic equivalence showing that much of practical usefulness is lost in the transition between SPR and CCP. By examining the literature on CCP applications we conclude that there is little evidence that CCP is used with the care that is necessary. Finally we conclude that CCP is seriously deficient as a modeling technique and of limited value as a computational device.

风险决策机会约束规划随机规划经济等价性