Stochastic linear programming method for right-hand sides random vector

DOI10.1080/00207729108910695MaRDI QIDQ3978571zbMATH OpenOpenAlexFDO

Authors Longin Stolc

Publication date 25 June 1992

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207729108910695

zbMATH Keywords

feasibility measuremeasure of feasibility of the solutionnormal distribution of the solution vectorstochastic linear programmingstochastic right-hand sides

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Review text

Presented is a method of solving a stochastic linear programming problem, worked out for the case with stochastic right-hand sides, which occurs most often in practice. Definitions of a measure of feasibility of the solution are introduced (global and local feasibility measure). They are based on the probability of the satisfaction of the constraints for a given basis solution, where such a basis solution must be feasible but in general non-optimal. A method of calculating the probability of the satisfaction of the constraints and rules for replacing a basis solution by another one with a greater probability of satisfaction of the feasibility conditions are introduced. This is a post-optimization method. It may be expected that the limit-distribution of the sequence of solution vectors (basis solutions) is a normal distribution. A two- dimensional example is computed, a graphic interpretation is given.

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Cites work

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Cited in

(6)

• Solving many linear programs that differ only in the right-hand side
• Stochastic programming problems involving Pareto distribution
• An effective heuristic for multistage linear programming with a stochastic right-hand side
• scientific article; zbMATH DE number 4082630 (Why is no real title available?)
• Linear programming in the forecasting of optimal dynamic systems
• Dual method for the solution of a one-stage stochastic programming problem with random RHS obeying a discrete probability distribution

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