Minimising the maximum relative regret for linear programmes with interval objective function coefficients

H E Mausser and M Laguna ()
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H E Mausser: Algorithmics Incorporated
M Laguna: University of Colorado

Journal of the Operational Research Society, 1999, vol. 50, issue 10, 1063-1070

Abstract: Abstract The minimax relative regret solution to a linear programme with interval objective function coefficients can be found using an algorithm that, at each iteration, solves a linear programme to generate a candidate solution and a mixed integer programme (MIP) to find the corresponding maximum regret. This paper first shows that there exists a regret-maximising solution in which all uncertain costs are at a bound, and then uses this to derive a MIP formulation that maximises the regret of a candidate solution. Computational experiments demonstrate that this approach is effective for problems with up to 50 uncertain objective function coefficients, significantly improving upon the existing enumerative method.

Keywords: minimax regret; interval objective function; mixed integer programming (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (13)

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DOI: 10.1057/palgrave.jors.2600789

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