THE USE OF QUADRATIC PROGRAMMING IN STOCHASTIC LINEAR PROGRAMMING
RAND CORP SANTA MONICA CA
Pagination or Media Count:
This paper presents a simple method of allowing for uncertainties in the constant terms i.e. right hand sides of a linear programming problem, and hence producing realistic safety margins in the solution. This is done by fitting a mixture of uniform distributions to the assumed distributions of these right hand sides, and using a particular quadratic programming algorithm.
- Operations Research