机会约束的影子价格

Chance-Constrained Shadow Prices

为了进一步对随机规划进行研究,通过定义机会约束规划的可靠规划的对偶规划,得到了随机规划的对偶规划的一些性质.从对偶规划的最优解出发,得到了机会约束的影子价格的概念,它反映了随机约束条件对于目标函数最优值的影响 通过实例来说明它在经济决策中的应用.

To promote researches on stochastic programming (SP), some characteristics of SP and its dual programming were obtained via defining the dual programming of reliant programming for chance-constrained programming. From the optimal solution to the dual programming, the concept of chance-constrained shadow prices was proposed. It reflects the influences of constrains to the optimal values of goal functions. An example was presented to show the application of chance-constrained shadow prices in economic decision making.