Extended Form of Robust Solutions for Uncertain Continuous-Time Linear Programming Problems with Time-Dependent Matrices

An extended form of robust continuous-time linear programming problem with time-dependent matrices is formulated in this paper. This complicated problem is studied theoretically in this paper. We also design a computational procedure to solve this problem numerically. The desired data that appeared in the problem are considered to be uncertain quantities, which are treated according to the concept of robust optimization. A discretization problem of the robust counterpart is formulated and solved to obtain the ϵ-optimal solutions.