Note—Response
通过一个简单反例，指出LaValle声称Jagannathan在机会约束规划中的结果无效的说法基于一个错误陈述。
LaValle (LaValle, I. H. 1987. Response to ‘Use of sample information in stochastic recourse and chance-constrained programming models:’ On the ‘Bayesability’ of CCP's. Management Sci. 33 1224–1228.) claims that the utility function U(z, F 1 , …, F n ) I have assumed in Jagannathan (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96–108.) must be linear in F 1 , and consequently my results pertaining to chance-constrained programming are not valid. In this note, I show through a simple counterexample that LaValle's claim is based on an erroneously stated result.