Chaotic solutions in dynamic linear programming

Abstract

Chaotic phenomena have been observed in various fields of sciences. We are concerned with linear programming (LP) and demonstrate that chaos may emerge as a solution to a dynamic LP problem. For this purpose, we work with an infinite time-horizon problem, for chaos appears in a dynamical system with no terminal date. As a result, it is not straightforward to find a solution, which cannot be derived from a simple repetition of arithmetics. In the finite time-horizon case, in contrast, a solution can be, at least in theory, obtained by such a method; the simplex method is one such procedure, repeating computations systematically.