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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: | 27 Aug 2021 17:12 |
| URI: | https://pure.iiasa.ac.at/2839 |
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