On Convex Probabilistic Programming with Discrete Distributions
نویسنده
چکیده
We consider convex stochastic programming problems with probabilistic constraints involving integer valued random variables The concept of a p e cient point of a probability distribution is used to derive various equivalent problem for mulations Next we introduce the concept of r concave discrete probability distri butions and analyse its relevance for problems under consideration These notions are used to derive lower and upper bounds for the optimal value of probabilisti cally constrained convex stochastic programming problems with discrete random variables
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