Robust Solutions for Uncertain Continuous-Time Linear Programming Problems with Time-Dependent Matrices

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

Mathematics, 2021, vol. 9, issue 8, 1-52

Abstract: The uncertainty for the continuous-time linear programming problem with time-dependent matrices is considered in this paper. In this case, the robust counterpart of the continuous-time linear programming problem is introduced. In order to solve the robust counterpart, it will be transformed into the conventional form of the continuous-time linear programming problem with time-dependent matrices. The discretization problem is formulated for the sake of numerically calculating the ? -optimal solutions, and a computational procedure is also designed to achieve this purpose.

Keywords: approximate solutions; continuous-time linear programming problems; ? -optimal solutions; robust counterpart; weak duality (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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