Practical Robust Optimization - an introduction - - LNMB
Practical Robust Optimization - an introduction - - LNMB
Practical Robust Optimization - an introduction - - LNMB
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Introduction to robust linear optimization<strong>Robust</strong> counterpart:(RC)max{c T x : Ax ≤ b, ∀A ∈ U},wherex ∈ R n , <strong>an</strong>dU is a given uncertainty region.We may assume w.l.o.g.:■■■■objective is certainRHS is certainU is closed <strong>an</strong>d convexconstraintwise uncertainty.F A C U L T Y O F E C O N O M I C S A N D B U S I N E S S A D M I N I S T R A T I O N22 / 53
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