Flexible solutions to linear programs under uncertainty: Inequality constraints

✍ Scribed by Y. Friedman; G. V. Reklaitis

• Publisher: American Institute of Chemical Engineers
• Year: 1975
• Tongue: English
• Weight: 700 KB
• Volume: 21
• Category: Article
• ISSN: 0001-1541
• DOI: 10.1002/aic.690210109

✦ Synopsis

Abstract

In most industrial applications the linear model used for optimization by linear programming involves significant uncertainties and inaccuracies in the model parameters. This paper presents a framework which allows uncertainties in the matrix elements of the linear program to be taken into account without requiring detailed knowledge of the statistical characterstics of these uncertainties. Three cases for the inequality constrained problem are considered: independent variations in the array elements, column dependent variations, and row dependent variations. In each case the problem can still be solved as a linear program. In the first two cases, the problem size is doubled, while for the row dependent case a finitely terminating cutting plane algorithm is constructed.