Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.orl.2003.12.007
Title: Robust linear optimization under general norms
Authors: Bertsimas, D.
Pachamanova, D.
Sim, M. 
Keywords: Constraint violation
Dual norms
Linear programming
Norms
Robust optimization
Stochastic programming
Issue Date: 2004
Source: Bertsimas, D., Pachamanova, D., Sim, M. (2004). Robust linear optimization under general norms. Operations Research Letters 32 (6) : 510-516. ScholarBank@NUS Repository. https://doi.org/10.1016/j.orl.2003.12.007
Abstract: 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. © 2004 Elsevier B.V. All rights reserved.
Source Title: Operations Research Letters
URI: http://scholarbank.nus.edu.sg/handle/10635/44096
ISSN: 01676377
DOI: 10.1016/j.orl.2003.12.007
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