Linear Programming under Uncertainty : A Chance Constrained Approach
Abstract: In this paper we deal with linear program under uncertainty, where uncertainty is described by inequalities over the probabilities of the states of nature. We propose regarding the risk attitude of the Decision maker (DM) a certainty equivalent problem to the linear program under uncertainty. We specify the convexity conditions of the set of feasible solutions and we propose a method to solve the certainty equivalent programs.
Keywords: Stochastic linear programming, chance constrained approach, upper and lower probabilities.