Robust counterparts of inequalities containing sums of maxima of linear functions

Bram L. Gorissen and Dick den Hertog

European Journal of Operational Research, 2013, vol. 227, issue 1, 30-43

Abstract: This paper addresses the robust counterparts of optimization problems containing sums of maxima of linear functions. These problems include many practical problems, e.g. problems with sums of absolute values, and arise when taking the robust counterpart of a linear inequality that is affine in the decision variables, affine in a parameter with box uncertainty, and affine in a parameter with general uncertainty.

Keywords: Robustness and sensitivity analysis; Sum of maxima of linear functions; Biaffine uncertainty; Robust conic quadratic constraints (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:227:y:2013:i:1:p:30-43

DOI: 10.1016/j.ejor.2012.10.007

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