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|Title:||Robust linear optimization under general norms|
|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|
|Appears in Collections:||Staff Publications|
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