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Robust optimization in countably infinite linear programs

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Abstract

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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Acknowledgments

Funded in part by the National Science Foundation through Grant #CMMI 1333260.

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  1. The University of Washington, Seattle, WA, 98195, USA

    Archis Ghate

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  1. Archis Ghate
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Ghate, A. Robust optimization in countably infinite linear programs. Optim Lett 10, 847–863 (2016). https://doi.org/10.1007/s11590-015-0958-4

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  • DOI: https://doi.org/10.1007/s11590-015-0958-4

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