Optimal randomized decision rule in univariate stochastic programming (Q800832)

The present work develops a rule for minimizing E(X) subject to \(X\geq O\), P(X\(\geq b)\geq a\) \((0<a<1)\) where b is a random variable with known continuous probability distribution. The decision variable X is treated as random. The geometric significance of the result has also been pointed out.