Robust linear semi-infinite programming duality under uncertainty

Robust linear semi-infinite programming duality under uncertainty

In this paper, we propose a duality theory for semi-infinite linear programming problems under uncertainty in the constraint functions, the objective function, or both, within the framework of robust optimization. We present robust duality by establishing strong duality between the robust counterpart of an uncertain semi-infinite linear program and the optimistic counterpart of its uncertain La...

Strong Duality in Robust Semi - Definite Linear Programming under Data Uncertainty ∗

This paper develops the deterministic approach to duality for semi-definite linear programming problems in the face of data uncertainty. We establish strong duality between the robust counterpart of an uncertain semi-definite linear programming model problem and the optimistic counterpart of its uncertain dual. We prove that strong duality between the deterministic counterparts holds under a ch...

Strong duality and sensitivity analysis in semi-infinite linear programming

Finite-dimensional linear programs satisfy strong duality (SD) and have the “dual 8 pricing” (DP) property. The (DP) property ensures that, given a sufficiently small perturbation of 9 the right-hand-side vector, there exists a dual solution that correctly “prices” the perturbation by 10 computing the exact change in the optimal objective function value. These properties may fail in 11 semi-inf...

Robust Duality for Generalized Convex Programming Problems under Data Uncertainty∗

In this paper we present a robust duality theory for generalized convex programming problems in the face of data uncertainty within the framework of robust optimization. We establish robust strong duality for an uncertain nonlinear programming primal problem and its uncertain Lagrangian dual by showing strong duality between the deterministic counterparts: robust counterpart of the primal model...

Robust Solutions of MultiObjective Linear Semi-Infinite Programs under Constraint Data Uncertainty