Solving nonlinear interval optimization problem using stochastic programming technique

P. Kumar () and G. Panda ()
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P. Kumar: Indian Institute of Technology
G. Panda: Indian Institute of Technology

OPSEARCH, 2017, vol. 54, issue 4, No 6, 752-765

Abstract: Abstract In this paper a methodology is developed to solve a nonlinear interval optimization problem by transforming this to a general optimization problem which is free from interval uncertainty. To address the interval uncertainty, relation between an interval and a random variable is established according to the 3 sigma-rule. Using this relation an interval function is associated with a function of random variables and an interval inequality is associated with a chance constraint. The interval optimization problem is then transformed into a nonlinear stochastic programming problem. Further, the existence of a preferable solution of the original problem is established using Chance Constrained Programming technique.

Keywords: Stochastic programming; Interval optimization; Interval valued function; Function of random variables; Chance-constraint (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s12597-017-0304-y

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