Guan, Sichong; Fang, Shu-Cherng - In: Mathematical Methods of Operations Research 48 (1998) 3, pp. 287-316
In this paper, an interior-point based global filtering algorithm is proposed to solve linear programming problems with the right-hand-side and cost vectors being stochastic. Previous results on the limiting properties of the Kalman filtering process have been extended to handle some...