A unifying framework for duality and modeling in robust linear programs

A.L. Soyster and F.H. Murphy

Omega, 2013, vol. 41, issue 6, 984-997

Abstract: In this paper, our major theme is a unifying framework for duality in robust linear programming. We show that there are two pair of dual programs allied with a robust linear program; one in which the primal is constructed to be “ultra-conservative” and one in which the primal is constructed to be “ultra-optimistic.” Furthermore, as one would expect, if the uncertainly in the primal is row-based, the corresponding uncertainty in the dual is column-based, and vice-versa. Several examples are provided that illustrate the properties of these primal and dual models.

Keywords: Robust linear programming; Duality (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (10)

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DOI: 10.1016/j.omega.2012.10.006

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