| Article ID: | iaor20001176 |
| Country: | Netherlands |
| Volume: | 111 |
| Issue: | 3 |
| Start Page Number: | 589 |
| End Page Number: | 597 |
| Publication Date: | Dec 1998 |
| Journal: | European Journal of Operational Research |
| Authors: | Li Duan, Biswal M.P., Biswal N.P. |
| Keywords: | programming: linear, programming: nonlinear |
A method for solving probabilistic linear programming problems with exponential random variables is presented in this paper. Assuming that either some or all of the parameters are exponential random variables a transformation is presented to convert the probabilistic linear programming problem to a deterministic mathematical programming problem. A non-linear programming algorithm can then be used to solve the resulting deterministic problem.