Name
Abstract | ||
|---|---|---|
We explicitly characterize the robust counterpart of a linear programming problem with uncertainty set described by an arbitrary norm. Our approach encompasses several approaches from the literature and provides guarantees for constraint violation under probabilistic models that allow arbitrary dependencies in the distribution of the uncertain coefficients. |
Year | DOI | Venue |
|---|---|---|
2004 | 10.1016/j.orl.2003.12.007 | Oper. Res. Lett. |
Keywords | Field | DocType |
norms,general norm,linear programming,linear programming problem,stochastic programming,robust linear optimization,uncertain coefficient,robust counterpart,probabilistic model,robust optimization,dual norms,constraint violation,arbitrary dependency,arbitrary norm,linear optimization,linear program,convex optimization | Second-order cone programming,Linear-fractional programming,Combinatorics,Mathematical optimization,Probabilistic-based design optimization,Robust optimization,Nonlinear programming,Linear programming,Probabilistic logic,Stochastic programming,Mathematics | Journal |
Volume | Issue | ISSN |
32 | 6 | Operations Research Letters |
Citations | PageRank | References |
118 | 7.47 | 6 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Dimitris J. Bertsimas | 1 | 4513 | 365.31 |
| Dessislava Pachamanova | 2 | 280 | 17.89 |
| Melvyn Sim | 3 | 1909 | 117.68 |