Robust optimal solutions in interval linear programming with forall-exists quantifiers
Optimization and Control
2019-05-27 v1
Abstract
We introduce a novel kind of robustness in linear programming. A solution x* is called robust optimal if for all realizations of objective functions coefficients and constraint matrix entries from given interval domains there are appropriate choices of the right-hand side entries from their interval domains such that x* remains optimal. we propose a method to check for robustness of a given point, and also recommend how a suitable candidate can be found. We also discuss topological properties of the robust optimal solution set. We illustrate applicability of our concept in a transportation problem.
Cite
@article{arxiv.1403.7427,
title = {Robust optimal solutions in interval linear programming with forall-exists quantifiers},
author = {Milan Hladík},
journal= {arXiv preprint arXiv:1403.7427},
year = {2019}
}