Perturbation analysis of linear programming problems with random parameters (Q1318521)

The authors present a method for solving stochastic programming problems when all the coefficients are functions of random variables. The uncertain parameters in the equations are expanded in Taylor series, in a fashion similar to \textit{H. Benaroya} and \textit{M. Rehak} [`Finite element methods and probabilistic structural analysis -- a selective review', ASME Appl. Mechan. Rev. 41, 201-213 (1988)]. The resulting equations are actually a set of linear programming recursive equations. Upon solving these equations the required probabilistic statements can be easily established. An industrial engineering example is given to demonstrate the use of this method. Also, the authors briefly discuss the use of this procedure for solving two other problems in civil and mechanical engineering respectively.