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The aim of this paper is to derive a method for solving a stochastic linear programming problem with Cauchy distribution. Assuming that the coefficients are distributed as Cauchy random variables, the stochastic linear programming is converted to a deterministic non-linear programming problem by a suitable transformation. Then an algorithm can be used to solve the resulting deterministic problem .A numerical example can be considered to illustrate the above methodology.


stochastic programming cauchy random variables probability density functions levy inversion theorem

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Author Biography

Manas Kumar Pal, Institute of Management & Information Science Swagat Vihar, Bankuala Bhubaneswar-751024 Odisha, India

Decision science & OM

Associate Professor