Practical Robust Optimization - an introduction - - LNMB
Practical Robust Optimization - an introduction - - LNMB
Practical Robust Optimization - an introduction - - LNMB
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Budget uncertainty regionOften used uncertainty region (Bertsimas <strong>an</strong>d Sim, 2004):{ζ : ‖ζ‖ ∞ ≤ 1, number of elements ≠ 0 at most Γ}which is equivalent to (only for linear uncertain constraints):{ζ : ‖ζ‖ ∞ ≤ 1, ‖ζ‖ 1 ≤ Γ}.This is a polyhedral uncertainty set.Hence, (RC) c<strong>an</strong> be reformulated as LP.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 N28 / 53
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