Robust linear optimization under general norms
Robust linear optimization under general norms
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DOI：
10.1016/j.orl.2003.12.007
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发表时间：
2004-11-01
影响因子：
1.1
通讯作者：
Sim, M
中科院分区：
文献类型：
--
作者：
Bertsimas, D;Pachamanova, D;Sim, M
我们明确地描述了鲁棒对应的线性规划问题的不确定性集描述的任意范数。我们的方法包括从文献中的几种方法，并提供保证约束违反概率模型，允许任意依赖的不确定系数的分布。(C)2004 Elsevier B.V.保留所有权利。
We explicitly characterize the robust counterpart of a linear programming problem with uncertainty set described by an arbitrary norm. Our approach encompasses several approaches from the literature and provides guarantees for constraint violation under probabilistic models that allow arbitrary dependencies in the distribution of the uncertain coefficients. (C) 2004 Elsevier B.V. All rights reserved.