Advanced Search

Query:

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

Format:

Display: entries per page entries

Zbl 1165.90565
Bertsimas, Dimitris; Sim, Melvyn
The price of robustness. (English)
[J] Oper. Res. 52, No. 1, 35-53 (2004). ISSN 0030-364X; ISSN 1526-5463/e

Summary: A robust approach to solving linear optimization problems with uncertain data was proposed in the early 1970s and has recently been extensively studied and extended. Under this approach, we are willing to accept a suboptimal solution for the nominal values of the data in order to ensure that the solution remains feasible and near optimal when the data changes. A concern with such an approach is that it might be too conservative. In this paper, we propose an approach that attempts to make this trade-off more attractive; that is, we investigate ways to decrease what we call the price of robustness. In particular, we flexibly adjust the level of conservatism of the robust solutions in terms of probabilistic bounds of constraint violations. An attractive aspect of our method is that the new robust formulation is also alinear optimization problem. Thus we naturally extend our methods to discrete optimization problems in a tractable way. We report numerical results for a portfolio optimization problem, a knapsack problem, and a problem from the NetLib library.

MSC 2000:: *90C05 Linear programming
90C31 Sensitivity, etc.
91B28 Finance etc.

Cited in: Zbl 1208.90127

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