Robust sensitivity analysis for linear programming with ellipsoidal perturbation
| Autor: | Wenxun Xing, Ruotian Gao |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
0209 industrial biotechnology
Binary search algorithm 021103 operations research Control and Optimization Mathematical model Linear programming Applied Mathematics Strategy and Management Feasible region MathematicsofComputing_NUMERICALANALYSIS 0211 other engineering and technologies Robust optimization 02 engineering and technology Ellipsoid Atomic and Molecular Physics and Optics 020901 industrial engineering & automation Fractional programming Quadratic equation Computer Science::Programming Languages Applied mathematics Business and International Management Electrical and Electronic Engineering Mathematics |
| Zdroj: | Journal of Industrial & Management Optimization. 16:2029-2044 |
| ISSN: | 1553-166X |
| DOI: | 10.3934/jimo.2019041 |
| Popis: | Sensitivity analysis is applied to the robust linear programming problem in this paper. The coefficients of the linear program are assumed to be perturbed in three perturbation manners within ellipsoidal sets. Our robust sensitivity analysis is to calculate the maximal radii of the perturbation sets to keep some properties of the robust feasible set. Mathematical models are formulated for the robust sensitivity analysis problems and all models are either reformulated into linear programs or convex quadratic programs except for the bi-convex programs where more than one row of the constraint matrix is perturbed. For the bi-convex programs, we develop a binary search algorithm. |
| Databáze: | OpenAIRE |
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