Mathematical Programming

, Volume 88, Issue 3, pp 411–424 | Cite as

Robust solutions of Linear Programming problems contaminated with uncertain data

  • Aharon Ben-Tal
  • Arkadi Nemirovski

Abstract.

Optimal solutions of Linear Programming problems may become severely infeasible if the nominal data is slightly perturbed. We demonstrate this phenomenon by studying 90 LPs from the well-known NETLIB collection. We then apply the Robust Optimization methodology (Ben-Tal and Nemirovski [1–3]; El Ghaoui et al. [5, 6]) to produce “robust” solutions of the above LPs which are in a sense immuned against uncertainty. Surprisingly, for the NETLIB problems these robust solutions nearly lose nothing in optimality.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Aharon Ben-Tal
    • 1
  • Arkadi Nemirovski
    • 1
  1. 1.Faculty of Industrial Engineering and Management, Technion – Israel Institute of Technology, 32000 Haifa, Israel, e-mail: (morbt,nemirovs)@ie.technion.ac.ilIL

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