Nonlinear Planning Model With a Gaussian Criterion of Optimization (Gaussian Programming Model)

Mikhail Luboschinsky

We propose an Economic - Probabilistic analogy: the category of cost is analogous to the category of Probability. The proposed analogy permits construction of an informal theory of nonlinear non-convex Gaussian Utility and Cost, which describes the real economic processes more adequately than a theory based on a linear and convex models. Based on the proposed analogy, we build a nonlinear non-convex planning model with a Gaussian optimality criterion - Gaussian Programming Model. We also describe a corresponding model of Generalized Piecewise-Linear Programming that can be used to approximate a Gaussian Programming model, and vice verse. Proposed constructions are illustrated on a numerical example.

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