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A class of stochastic programming decision problems
Author:
Andr
s Pr
kopa a
s Prkopa a
| Affiliation: | a Computing Centre of the Hungarian Academy of Sciences, Budapest, Hungaria |
DOI:
10.1080/02331887208801091
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
A class of probabilistic constrained programming problems are considered where the probabilistic constraint is of the form
 and the functions  are concave. I t is shown that the function of the left hand side is logarithmic concave provided ξ has a logarithmic concave density. Special cases are mentioned and algorithmic solution of problems containing such constraint is discussed.
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