Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 0941.90053
Ben-Tal, A.; Nemirovski, A.
Robust solutions of uncertain linear programs. (English)
[J] Oper. Res. Lett. 25, No.1, 1-13 (1999). ISSN 0167-6377

Summary: We treat in this paper Linear Programming (LP) problems with uncertain data. The focus is on uncertainty associated with hard constraints: those which must be satisfied, whatever is the actual realization of the data (within a prescribed uncertainty set). We suggest a modeling methodology whereas an uncertain LP is replaced by its Robust Counterpart (RC). We then develop the analytical and computational optimization tools to obtain robust solutions of an uncertain LP problem via solving the corresponding explicitly stated convex RC program. In particular, it is shown that the RC of an LP with ellipsoidal uncertainty set is computationally tractable, since it leads to a conic quadratic program, which can be solved in polynomial time.

MSC 2000:: *90C05 Linear programming
90C25 Convex programming
90C51 Interior-point methods

Keywords: linear programming; data uncertainty; robustness; convex programming; interior-point methods

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]