Robust solutions of linear programming problems contaminated with uncertain data. (English) Zbl 0964.90025

Ben-Tal, Aharon; Nemirovski, Arkadi

Math. Program. 88, No. 3 (A), 411-424 (2000).

The paper deals with the following problem: How much the optimal solution to the nominal problem can violate the constraints of the perturbed problem. The authors describe a methodology for quantifying the level to which data perturbations may affect the quality of a feasible solution to a LP program and present the associated results for the NETLIB problems. Also, they explain how the Robust Optimization methodology can be used to immune solutions against data perturbations and discuss the results of this immunization for the NETLIB problems.

Reviewer: I.M.Stancu-Minasian (Bucureşti)

MSC:

90C05

Linear programming

Keywords:

robust optimization methodology; LP program; NETLIB problems

Software:

NETLIB LP Test Set