A fast method for a class of one-stage bounded variables and single constrained linear programming problems

Abstract

In this paper, an efficient and effective method is developed for solving a class of onestage single constrained linear programming problems with a finite number of right hand side scenarios and bounded variables. We compare our proposed method with two general purpose methods. The first general purpose method uses CPLEX interactive optimizer. The second general purpose uses command “linprog” of MATLAB software. Both CPLEX and “linprog” can solve linear programming problems efficiently. For various m and n, by using elapsed time as the criteria, our procedure outperformed general purpose methods as the problem size grew.

Keywords and phrases:

• Linear programming under uncertainties
• the simplex based method