Robust optimization in countably infinite linear programs
نویسنده
چکیده
A robust optimization framework for countably infinite linear programs (CILPs) is developed. It is shown that a particular robust counterpart of a nominal CILP can be reformulated as another CILP. A bound on the probability of constraint violation is derived. A convergent algorithm for solving this robust CILP is proposed.
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ورودعنوان ژورنال:
- Optimization Letters
دوره 10 شماره
صفحات -
تاریخ انتشار 2016