AN ALGORITHM FOR A PARTIALLY CHANCE-CONSTRAINED E-MODEL

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  • 部分的に確率的制約条件をもつE-モデルの一解法

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This paper considers an E-model having a random linear inequality constraint and provides an algorithm for solving it. An original problem P is first transformed into deterministric equivalent problem P'. For solving P', a subsidiary problem P (μ) with a parameter p is defined. The dual-like relation between P and P (μ) is clarified. Then an algorithm for solving P (μ) is proposed. This algorithm is based on the parametric quadratic programming technique. Next fully utilizing this algorithm for P (μ), main algorithm is constructed. Finally, applicability of the above dual-like relation to other nonlinear problems is suggested.

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