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Robust optimisation in Maths Programming

  1. Apr 25, 2012 #1
    I am a bit confused as to how to formulate the robust optimisation counterpart for the following problem,

    1. The problem statement, all variables and given/known data

    Consider the random linear constraint Ʃj ( ~aijxj ) ≤ bi, where ~aij's are the random parameters,
    Assume ~aij belongs to the uncertainty interval [aij-aij*, aij + aij*] for all j=1...n, and in addition
    Ʃj|~aij-aij| ≤r for all j=1...n

    Formulate the robust counterpart for this random constraint.


    2. The attempt at a solution

    All I can think to do is ;

    Objective; mincTx

    Constraint; Ʃj~aijxj ≤bi for all ~ai in Ui where Ui = {~ai:|~aij-aij|≤aij*}
     
  2. jcsd
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