Stochastic Programming with Cauchy Distribution

Manas Kumar Pal; S. Bagh

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Stochastic Programming with Cauchy Distribution

Author(s)

Manas Kumar Pal Institute of Management & Information Science Bhubaneswar,Odisha,India

S. Bagh Department of Statistics, Sambalpur University, Orissa, India

Abstract

The aim of this paper is to derive a method for solving a stochastic linear programming problem with Cauchy distribution. Assuming that the coefficients are distributed as Cauchy random variables, the stochastic linear programming is converted to a deterministic non-linear programming problem by a suitable transformation. Then an algorithm can be used to solve the resulting deterministic problem .A numerical example can be considered to illustrate the above methodology.

Publication Details

Page(s) 543-552

DOI DOI not available

Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 11, Issue: 4, Year: 2015

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Keywords

and phrases, Probability density functions, Stochastic programming, Levy inversion theorem, Cauchy random variables

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