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SSRN Electronic Journal
Article . 2015 . Peer-reviewed
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Robust Solutions for Systems of Uncertain Linear Equations

Authors: Zhen, Jianzhe; den Hertog, Dick;

Robust Solutions for Systems of Uncertain Linear Equations

Abstract

Our contribution is twofold. Firstly, for a system of uncertain linear equations where the uncertainties are column-wise and reside in general convex sets, we show that the intersection of the set of possible solutions and any orthant is convex. We derive a convex representation of this intersection to calculate the ranges of the coordinates. Secondly, we propose two new methods for obtaining robust solutions of systems of uncertain linear equations. The first method calculates the center of the maximum inscribed ellipsoid of the set of possible solutions. The second method minimizes the expected violations with respect to the worst-case distribution. We compare these two new methods both theoretically and numerically with an existing method. The existing method minimizes the worst-case violation. Applications to the input-output model, Colley's Matrix Rankings and Article Influence Scores demonstrate the advantages of the two new methods.

Country
Netherlands
Related Organizations
Keywords

robust least-squares, article influence scores, maximum volune inscribed ellipsoid, Colley's Matrix Rankings, interval linear systems, input-output model, worst-case distribution, interval linear systems; uncertain linear equations; maximum volune inscribed ellipsoid; worst-case distribution; robust least-squares; input-output model; Colley's Matrix Rankings; article influence scores, uncertain linear equations, jel: jel:C61

  • BIP!
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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    1
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Average
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Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
bronze