Confidence Regions for Linear Programs with Random Coefficients

Cipra T (1986). Confidence Regions for Linear Programs with Random Coefficients. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-86-020

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Abstract

If random values in a linear program with random coefficients can be predicted using previous observations on them one can utilize the appropriate prediction region and construct a confidence interval in which the optimal value of the objective function lies with a given probability (or even construct a confidence region for the optimal decision). It is a new statistical approach based on projection of the observed data into the time period of interest. The results are demonstrated by a numerical example.

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: 18 Nov 2016 18:33
URI: http://pure.iiasa.ac.at/2839

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