Chance-Constrained Shadow Prices

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.