Technical Note—Exact Solutions of Inexact Linear Programs

James E. Falk
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James E. Falk: The George Washington University, Washington, D.C.

Operations Research, 1976, vol. 24, issue 4, 783-787

Abstract: We address the problem of solving a linear program whose objective function coefficients are known only to lie in a given convex set. We seek a solution that is optimal against the worst possible realization of the objective function, i.e., a max-min solution. We present optimality criteria that characterize the desired solution and strengthen earlier results due to Soyster. The conditions are computationally implementable.

Date: 1976
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