Blau's Dilemma Revisited (A Note)

by Robert F. Nau (Management Science 33:10 1232-1237)

The issue of equivalence between chance-constrained-programming problems (CCPP's) and Bayesian utility-maximization problems (BUMP's), and the anomalous evaluation of information in CCPP's, are re-examined in light of a recent paper by Jagannathan and the ensuing exchange between Jagannathan and LaValle. Difficulties in "explaining" value of information within the framework of chance-constrained programming are illustrated in a numerical example.

Key words: Chance-constrained programming, information evaluation, decision analysis