Journal of Applied Mathematics

• J. Appl. Math.
• Volume 2014, Special Issue (2014), Article ID 209239, 7 pages.

Robust Linear Programming with Norm Uncertainty

Abstract

We consider the linear programming problem with uncertainty set described by $(p,w)$-norm. We suggest that the robust counterpart of this problem is equivalent to a computationally convex optimization problem. We provide probabilistic guarantees on the feasibility of an optimal robust solution when the uncertain coefficients obey independent and identically distributed normal distributions.

Article information

Source
J. Appl. Math., Volume 2014, Special Issue (2014), Article ID 209239, 7 pages.

Dates
First available in Project Euclid: 1 October 2014

https://projecteuclid.org/euclid.jam/1412177567

Digital Object Identifier
doi:10.1155/2014/209239

Mathematical Reviews number (MathSciNet)
MR3212487

Citation

Wang, Lei; Luo, Hong. Robust Linear Programming with Norm Uncertainty. J. Appl. Math. 2014, Special Issue (2014), Article ID 209239, 7 pages. doi:10.1155/2014/209239. https://projecteuclid.org/euclid.jam/1412177567

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