Chance-constrained linear programming with location scale distributions

Chance-constrained linear programming with location scale distributions

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Article ID: iaor19931193
Country: United States
Volume: 39
Issue: 7
Start Page Number: 997
End Page Number: 1007
Publication Date: Dec 1992
Journal: Naval Research Logistics
Authors:
Keywords: markov processes
Abstract:

M. Kress, in 1984, studied the chance-constrained critical path problem and proved that if the project time random variables follow a class of location-scale probability distributions, then there exists a specific threshold confidence level, such that the critical path for the system remains the same for all higher confidence levels. The purpose of this article is to study the similar properties for a general chance-constrained linear programming (C2LP) problems with location-scale probability distributions. The paper presents results for chance-constrained linear programming which parallel those in Kress’s article.

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