Note---Response

LaValle (LaValle, I. H. 1987. Response to `Use of sample information in stochastic recourse and chance-constrained programming models:' On the `Bayesability' of CCP's. Management Sci. 33 1224--1228.) claims that the utility function U(z, F1, ..., Fn) I have assumed in Jagannathan (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci. 31 96--108.) must be linear in F1, and consequently my results pertaining to chance-constrained programming are not valid. In this note, I show through a simple counterexample that LaValle's claim is based on an erroneously stated result.

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Year of publication:	1987
Authors:	Jagannathan, R.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 33.1987, 10, p. 1229-1231
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	chance-constrained programming

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.33.10.1229 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009191304