Tractable Approximation to Robust Nonlinear Production Frontier Problem

Abstract and Applied Analysis

Research Article

Nan-jing Huang²  Xing Wang²  Lei Wang¹ 

[1] Department of Economic Mathematics, South Western University of Finance and Economics, Sichuan, Chengdu 610074, China, swufe.edu.cn;Department of Mathematics, Sichuan University, Chengdu 610064, China, scu.edu.cn

Others  :  1268704
DOI  :  10.1155/2012/965835

 received in 2012-09-04, accepted in 2012-09-24,  发布年份 2012

【 摘 要 】

Robust optimization is a rapidly developing methodology for handling optimization problems affected by the uncertain-but-bounded data perturbations. In this paper, we consider the nonlinear production frontier problem where the traditional expected linear cost minimization objective is replaced by one that explicitly addresses cost variability. We propose a robust counterpart for the nonlinear production frontier problem that preserves the computational tractability of the nominal problem. We also provide a guarantee on the probability that the robust solution is feasible when the uncertain coefficients obey independent and identically distributed normal distributions.

【 授权许可】

CC BY   
Copyright © 2012 Lei Wang et al. 2012

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