Centered Solutions for Uncertain Linear Equations (revision of CentER DP 2015-044)

Jianzhe Zhen, Dick den Hertog

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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. Secondly, to obtain centered solutions for systems of uncertain linear equations, we compute the maximum size inscribed convex body (MCB) of the set of all possible solutions. The obtained MCB is an inner approximation of the solution set, and its center is a potential solution to the system. We compare our method both theoretically and numerically with an existing method that minimizes the worst-case violation. Applications to the input-output model, Colley's Matrix Rankings and Article Influence Scores demonstrate the advantages of the new method.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages26
Volume2016-048
Publication statusPublished - 22 Dec 2016

Publication series

NameCentER Discussion Paper
Volume2016-048

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Keywords

  • interval linear systems
  • uncertain linear equations
  • Maximum volume inscribed ellipsoid

Cite this

Zhen, J., & den Hertog, D. (2016). Centered Solutions for Uncertain Linear Equations (revision of CentER DP 2015-044). (CentER Discussion Paper; Vol. 2016-048). Tilburg: CentER, Center for Economic Research.