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Linear Programming with interval right hand sides

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Date
2010
Link to item file
http://hal.archives-ouvertes.fr/hal-00178102/en/
Dewey
Recherche opérationnelle
Sujet
maximum regret criteria; robustness analysis; interval right handside; linear programming
Journal issue
International Transactions in Operational Research
Volume
17
Number
3
Publication date
2010
Article pages
397-408
Publisher
Wiley interscience
DOI
http://dx.doi.org/10.1111/j.1475-3995.2009.00737.x
URI
https://basepub.dauphine.fr/handle/123456789/1739
Collections
  • LAMSADE : Publications
Metadata
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Author
Gabrel, Virginie
Murat, Cécile
Remli, Nabila
Type
Article accepté pour publication ou publié
Abstract (EN)
In this paper, we study general linear programs in which right handsides are interval numbers. This model is relevant when uncertain and inaccurate factors make di±cult the assignment of a single value to each right handside. When objective function coefficients are interval numbers in a linear program, it is used to determine optimal solutions according to classical criteria coming from decision theory (like the worst case criterion). When the feasible solutions set is uncer- tain, another approach consists in determining the worst and best optimum solutions. We study the complexity of these two optimization problems when each right handside is an interval number. Moreover, we analysis the relationship between these two problems and the classical approach coming from decision theory. We exhibit some duality relation between the worst optimum solution problem and the best optimum solution problem in the dual. This study highlights some duality property in robustness analysis.

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