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Robust optimality analysis for linear programming problems with uncertain objective function coefficients: an outer approximation approach

Zhenzhong Gao, Masahiro Inuiguchi (2023)

Kybernetika

Linear programming (LP) problems with uncertain objective function coefficients (OFCs) are treated in this paper. In such problems, the decision-maker would be interested in an optimal solution that has robustness against uncertainty. A solution optimal for all conceivable OFCs can be considered a robust optimal solution. Then we investigate an efficient method for checking whether a given non-degenerate basic feasible (NBF) solution is optimal for all OFC vectors in a specified range. When the...

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