An Achievement rate Approach to Linear Programming Problems with Convex Polyhedral Objective Coefficients

In this paper, an LP problem with convex polyhedral objective coefficients is treated. In the problem, the interactivities of the uncertain objective coefficients are represented by a bounded convex polyhedron (a convex polytope). We develop a computation algorithm of a maxmin achievement rate solution. To solve the problem, first, we introduce the relaxation procedure. In the algorithm, a sub-problem, a bilevel programing problem, should be solved. To solve the sub-problem, we develop a solution method based on a branch and bound method. As a result, it is shown that the problem can be solved by the repetitional use of the simplex method.