Stochastic goal programming: A mean-variance approach (Q5935381)
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scientific article; zbMATH DE number 1610186
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic goal programming: A mean-variance approach |
scientific article; zbMATH DE number 1610186 |
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Stochastic goal programming: A mean-variance approach (English)
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26 June 2001
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The author proposes a stochastic goal programming (GP) model leading to a structure of mean-variance minimisation. The solution to the stochastic problem is obtained from a linkage between the standard expected utility theory and a strictly linear, weighted GP model under uncertainty. The approach essentially consists in specifying the expected utility equation corresponding to every goal.
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stochastic goal programming
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mean-variance minimisation
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