Abstract
An interval linear program is (IP): maximize
c
tx
s.t.
b
-⩽
Ax⩽
b
+, where the matrix
A, vectors
c,
b
-, and
b
+ are given. The explicit solution of (IP) when
A has full row rank [2] is used here to derive an iterative method for solving the general (IP). This method applies to general linear programs and is shown to be a dual method with multiple substitution.