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A recurrence method for a special class of continuous time linear programming problems

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Abstract

This article studies a numerical solution method for a special class of continuous time linear programming problems denoted by (SP). We will present an efficient method for finding numerical solutions of (SP). The presented method is a discrete approximation algorithm, however, the main work of computing a numerical solution in our method is only to solve finite linear programming problems by using recurrence relations. By our constructive manner, we provide a computational procedure which would yield an error bound introduced by the numerical approximation. We also demonstrate that the searched approximate solutions weakly converge to an optimal solution. Some numerical examples are given to illustrate the provided procedure.

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Authors and Affiliations

  1. General Education Center, Kaohsiung Medical University, Kaohsiung, 807, Taiwan, ROC

    Ching-Feng Wen

  2. Department of Industrial Management, Vanung University, Taoyuan, 320, Taiwan, ROC

    Yung-Yih Lur & Yan-Kuen Wu

Authors
  1. Ching-Feng Wen
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  2. Yung-Yih Lur
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  3. Yan-Kuen Wu
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Corresponding author

Correspondence to Yan-Kuen Wu.

Additional information

Research of Ching-Feng Wen is partially supported by a grant from the Kaohsiung Medical University Research Foundation (Q097016) and NSC 97-2115-M-037-001.

Research of Yung-Yih Lur is partially supported by NSC 97-2115-M-238-001.

Research of Yan-Kuen Wu is partially supported by NSC 97-2410-H-238-004.

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Wen, CF., Lur, YY. & Wu, YK. A recurrence method for a special class of continuous time linear programming problems. J Glob Optim 47, 83–106 (2010). https://doi.org/10.1007/s10898-009-9459-2

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  • DOI: https://doi.org/10.1007/s10898-009-9459-2

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