A new approach to some possibilistic linear programming problems.

Young-Jou Lai and Ching-Lai Hwang Department of Industrial Engineering, Kansas State University, Manhattan, KS 66506, USA

Received October 1990 Revised March 1991

Abstract:

In practice, the unit costs/profits of new products or new projects, the lending and borrowing interest rates, and cash flows are always imprecise. We provide an auxiliary multiple objective linear programming model to solve a linear programming problem with imprecise objective and/or constraint coefficients. Our strategy is to maximize the most possible value of the imprecise profit.

At the same time, we would like to minimize the risk of obtaining lower profit and maximize the possibility of obtaining higher profit. This strategy is equivalent to the practical considerations of financial problems. In this paper, a numeric investment problem is solved for illustrating the new approach.

Keywords: Possibilistic linear programming; multiple objective linear programming; risk.

PT 08