Journal article
Robust solutions of Linear Programming problems contaminated with uncertain data
Optimal solutions of Linear Programming problems may become severely infeasible if the nominal data is slightly perturbed. We demonstrate this phenomenon by studying 90 LPs from the well-known NETLIB collection. We then apply the Robust Optimization methodology (Ben-Tal and Nemirovski [1–3]; El Ghaoui et al. [5, 6]) to produce “robust” solutions of the above LPs which are in a sense immuned against uncertainty.
Surprisingly, for the NETLIB problems these robust solutions nearly lose nothing in optimality.
Language: | English |
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Publisher: | Springer-Verlag |
Year: | 2000 |
Pages: | 411-424 |
ISSN: | 14364646 and 00255610 |
Types: | Journal article |
DOI: | 10.1007/PL00011380 |