Note---Response to "Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models": On the "Bayesability" of CCP's

Jagannathan's (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96--108.) invocation of a utility function for a chance-constrained programming problem [CCPP] produces a Bayesian utility maximation problem [BUMP] which is not equivalent to the given CCPP. Therefore, the nonanomalous behavior shown to characterize information value in the BUMP does not refute examples such as Blau's (Blau, R. A. 1974. Stochastic programming and decision analysis: An apparent dilemma. Management Sci. 21 271--276.).

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Year of publication:	1987
Authors:	LaValle, Irving H.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 33.1987, 10, p. 1224-1228
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	utility theory \| chance-constrained programming \| decision analysis

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.33.10.1224 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009214131