Programming Under Uncertainty: The Solution Set

Roger Wets
1966 SIAM Journal on Applied Mathematics  
JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org. Abstract. In a previous paper [81, we described and characterized the equivalent convex program of a two-stage linear program under uncertainty. We proved that
more » ... ty. We proved that the solution set of a linear program under uncertainty is convex and derived explicit expressions for this set for some particular cases. The main result of this paper is to show that the solution set is not only convex but also polyhedral. It is also shown that the equivalent convex program of a multi-stage programming under uncertainty problem is of the form: Minimize a convex function subject to linear constraints. * Received by the editors September 1, 1965.
doi:10.1137/0114091 fatcat:cnxunostajggjeniofxbbzlnrm