Time Series in Linear Programs with Random Right-Hand Sides

Cipra T (1986). Time Series in Linear Programs with Random Right-Hand Sides. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-86-021

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Abstract

Linear programs such that the right-hand sides of their restrictions have the form of multivariate time series may be useful in practical applications. Behavior of the processes formed by the optimal values of the corresponding objective functions is investigated in the following cases: the right-hand side process is (i) a normal white noise; (ii) a normal white noise with a linear trend; (iii) a normal random walk. Some basic probability characteristics of such processes are calculated explicitly.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:57
Last Modified: 04 Nov 2016 11:18
URI: http://pure.iiasa.ac.at/2838

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