|Start Page Number:||589|
|End Page Number:||597|
|Publication Date:||Dec 1998|
|Journal:||European Journal of Operational Research|
|Authors:||Li Duan, Biswal M.P., Biswal N.P.|
|Keywords:||programming: linear, programming: nonlinear|
A method for solving probabilistic linear programming problems with exponential random variables is presented in this paper. Assuming that either some or all of the parameters are exponential random variables a transformation is presented to convert the probabilistic linear programming problem to a deterministic mathematical programming problem. A non-linear programming algorithm can then be used to solve the resulting deterministic problem.