注释——回应“样本信息在随机补偿和机会约束规划模型中的应用”:关于机会约束规划问题的“贝叶斯性”

Note—Response to “Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models”: On the “Bayesability” of CCP's

Management Science · 1987
被引 8
人大 A+FT50UTD24ABS 4*

中文导读

指出Jagannathan将效用函数引入机会约束规划问题后得到的贝叶斯效用最大化问题与原问题不等价,因此其关于信息价值的结论无法反驳Blau提出的反例。

Abstract

Jagannathan's (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96–108.) invocation of a utility function for a chance-constrained programming problem [CCPP] produces a Bayesian utility maximation problem [BUMP] which is not equivalent to the given CCPP. Therefore, the nonanomalous behavior shown to characterize information value in the BUMP does not refute examples such as Blau's (Blau, R. A. 1974. Stochastic programming and decision analysis: An apparent dilemma. Management Sci. 21 271–276.).

机会约束规划贝叶斯效用最大化信息价值随机规划