Perturbation analysis of linear programming problems with random parameters

DOI10.1016/0305-0548(94)90054-XMaRDI QIDQ1318521zbMATH OpenOpenAlexFDO

Authors Mohammed Ettouney, Elsayed A. Elsayed

Publication date 15 March 1995

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0305-0548(94)90054-x

zbMATH Keywords

linear programming recursive equationsTaylor series

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

Review text

The authors present a method for solving stochastic programming problems when all the coefficients are functions of random variables. The uncertain parameters in the equations are expanded in Taylor series, in a fashion similar to \textit{H. Benaroya} and \textit{M. Rehak} [`Finite element methods and probabilistic structural analysis -- a selective review', ASME Appl. Mechan. Rev. 41, 201-213 (1988)]. The resulting equations are actually a set of linear programming recursive equations. Upon solving these equations the required probabilistic statements can be easily established. An industrial engineering example is given to demonstrate the use of this method. Also, the authors briefly discuss the use of this procedure for solving two other problems in civil and mechanical engineering respectively.

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Cites work

• An alternating method for stochastic linear programming with simple recourse
• Boundary element methods in probabilistic structural analysis (PBEM)
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution
• scientific article; zbMATH DE number 3115465 (Why is no real title available?)
• scientific article; zbMATH DE number 3105629 (Why is no real title available?)
• Linear programming under uncertainty
• Solving stochastic programs with simple recourse

Cited in

(3)

• Some perturbation theory for linear programming
• Probabilistic linear programming problems with exponential random variables: a technical note
• SOFTWARE SECTION—RANDMOD: A System for Randomizing Modifications to an Instance of a Linear Program

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