Some Special P-Models in Chance-Constrained Programming

Abstract

This paper establishes sufficient conditions for decision rules to be optimal for two n -penod P -models of chance-constrained programming. The models considered are the triangular model with total probability constraints and the block triangular model with conditional probability constraints. It is shown that, for both these models, a sufficient condition for optimality is that the decision rule be the optimal piecewise linear rule. Proofs of theorems are based on results contained in earlier papers by the authors, on n -penod E -models of chance-constrained programming.