Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty | Zendy

R. Jagannathan | Zendy

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Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty

Author(s) -

R. Jagannathan

Publication year - 1977

Publication title -

operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.797

H-Index - 140

eISSN - 1526-5463

pISSN - 0030-364X

DOI - 10.1287/opre.25.1.173

Subject(s) - minimax , mathematics , stochastic programming , linear programming , mathematical optimization , class (philosophy) , variance (accounting) , regular polygon , finite set , computer science , geometry , accounting , artificial intelligence , business , mathematical analysis

We consider a linear programming problem with random aij and bi elements that have known finite mean and variance, but whose distribution functions are otherwise unspecified. A minimax solution of the stochastic programming model is obtained by solving an equivalent deterministic convex programming problem. We derive these deterministic equivalents under different assumptions regarding the stochastic nature of the random parameters.

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