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On using cardinality constrained uncertainty for objective coefficients in robust optimization

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Abstract

In this paper, we discuss the issues of using the cardinality constrained approach, proposed by Bertsimas and Sim (2004), for uncertain objective coefficients in robust optimization. For a special case of a single constraint, we state the necessary and sufficient condition to avoid one of the issues. We also suggest a new robust model that does not suffer from the issues, while preserving the merits of using the cardinality constrained uncertainty.

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Acknowledgements

This work was supported by the National Research Foundation of Korea(NRF) Grant funded by the Korea government(MSIP) (No. 2016R1A2B4013590)

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Authors and Affiliations

  1. Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology, 291 Daehak-ro, Yuseong-gu, Daejeon, 34141, Republic of Korea

    Jaeyoong Lim & Sungsoo Park

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  1. Jaeyoong Lim
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  2. Sungsoo Park
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Correspondence to Sungsoo Park.

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Lim, J., Park, S. On using cardinality constrained uncertainty for objective coefficients in robust optimization. Optim Lett 15, 1195–1214 (2021). https://doi.org/10.1007/s11590-020-01622-y

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  • DOI: https://doi.org/10.1007/s11590-020-01622-y

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