Letter to the Editor—Remarks on “Linear Programming Under Uncertainty”

Published Online:https://doi.org/10.1287/opre.16.1.198

In a recent article in this Journal, R. Wilson developed duality relations and certainty equivalent formulas for a linear programming problem with normally distributed random demands. The purpose of the present letter is to establish such relations and formulas for quite general continuous probability distributions. In addition, our analysis reveals more clearly the role of the means and variances as they affect the certainty equivalents.

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