Stochastic Programming and Decision Analysis: An Apparent Dilemma

Published Online:https://doi.org/10.1287/mnsc.21.3.271

An example is given which demonstrates that using a decision theory analysis for the basic chance-constrained model of stochastic linear programming may lead to an apparent dilemma, namely, 0 > EVSI > EVPI. The problem is discussed and a resolution suggested.

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