Note—Response to “Use of Sample Information in Stochastic Recourse and Chance-Constrained Programming Models”: On the “Bayesability” of CCP's
Published Online:1 Oct 1987https://doi.org/10.1287/mnsc.33.10.1224
Abstract
Jagannathan's (Jagannathan, R. 1985. Use of sample information in stochastic recourse and chance-constrained programming models. Management Sci.31 96–108.) invocation of a utility function for a chance-constrained programming problem [CCPP] produces a Bayesian utility maximation problem [BUMP] which is not equivalent to the given CCPP. Therefore, the nonanomalous behavior shown to characterize information value in the BUMP does not refute examples such as Blau's (Blau, R. A. 1974. Stochastic programming and decision analysis: An apparent dilemma. Management Sci.21 271–276.).
