Numerical Method for Solving the Robust Continuous-Time Linear Programming Problems

Hsien-Chung Wu
Additional contact information
Hsien-Chung Wu: Department of Mathematics, National Kaohsiung Normal University, Kaohsiung 802, Taiwan

Mathematics, 2019, vol. 7, issue 5, 1-50

Abstract: A robust continuous-time linear programming problem is formulated and solved numerically in this paper. The data occurring in the continuous-time linear programming problem are assumed to be uncertain. In this paper, the uncertainty is treated by following the concept of robust optimization, which has been extensively studied recently. We introduce the robust counterpart of the continuous-time linear programming problem. In order to solve this robust counterpart, a discretization problem is formulated and solved to obtain the ? -optimal solution. The important contribution of this paper is to locate the error bound between the optimal solution and ? -optimal solution.

Keywords: approximate solutions; continuous-time linear programming problems; ? -optimal solutions; robust optimization (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/7/5/435/pdf (application/pdf)
https://www.mdpi.com/2227-7390/7/5/435/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jmathe:v:7:y:2019:i:5:p:435-:d:231913

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().