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Numerical Method for Solving the Robust Continuous-Time Linear Programming Problems

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  • Hsien-Chung Wu

    (Department of Mathematics, National Kaohsiung Normal University, Kaohsiung 802, Taiwan)

Abstract

A robust continuous-time linear programming problem is formulated and solved numerically in this paper. The data occurring in the continuous-time linear programming problem are assumed to be uncertain. In this paper, the uncertainty is treated by following the concept of robust optimization, which has been extensively studied recently. We introduce the robust counterpart of the continuous-time linear programming problem. In order to solve this robust counterpart, a discretization problem is formulated and solved to obtain the ϵ -optimal solution. The important contribution of this paper is to locate the error bound between the optimal solution and ϵ -optimal solution.

Suggested Citation

  • Hsien-Chung Wu, 2019. "Numerical Method for Solving the Robust Continuous-Time Linear Programming Problems," Mathematics, MDPI, vol. 7(5), pages 1-50, May.
    • Handle: RePEc:gam:jmathe:v:7:y:2019:i:5:p:435-:d:231913
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    References listed on IDEAS

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