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An economic interpretation of stochastic programs

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Abstract

The purpose of this note is to interpret a class of stochastic programming problems in economic terms. The primal stochastic program is shown to represent a certain production program of an entrepreneur. The dual program, which is also a stochastic program, represents the problem of a contractor who desires to purchase the entrepreneur's resources and sell product back to him.

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Authors and Affiliations

  1. School of Organization and Management, Yale University, 06520, New Haven, CT, USA

    Stanley J. Garstka

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  1. Stanley J. Garstka
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Garstka, S.J. An economic interpretation of stochastic programs. Mathematical Programming 18, 62–67 (1980). https://doi.org/10.1007/BF01588297

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  • DOI: https://doi.org/10.1007/BF01588297

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