Robust Linear Programming with Norm Uncertainty

Lei Wang and Hong Luo

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

Abstract: We consider the linear programming problem with uncertainty set described by (p, w)‐norm. We suggest that the robust counterpart of this problem is equivalent to a computationally convex optimization problem. We provide probabilistic guarantees on the feasibility of an optimal robust solution when the uncertain coefficients obey independent and identically distributed normal distributions.

Date: 2014
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https://doi.org/10.1155/2014/209239

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:209239

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