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Stochastic linear programs with simple recourse: The equivalent deterministic convex program for the normal,exponential, and erlang cases
Authors:Behram J Hansotia
Abstract:We consider here stochastic linear programs with simple recourse when all the elements of the technology matrix and the resource vector have certain specific distributions. The distributions considered are the Normal, Exponential and Erlang. For the first two instances we extend the equivalent deterministic program to include the variance of the recourse. Finally, a simple example is given to illustrate the application of the formulas for the Erlang case.
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