A note on the Bertsimas & Sim algorithm for robust combinatorial optimization problems
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We improve the well-known result presented in Bertsimas and Sim (Math Program B98:49–71, 2003) regarding the computation of optimal solutions of Robust Combinatorial Optimization problems with interval uncertainty in the objective function coefficients. We also extend this improvement to a more general class of Combinatorial Optimization problems with interval uncertainty.
KeywordsRobust combinatorial optimization problems Bertsimas & Sim algorithm
Mathematics Subject Classification90C11 90C27
I. Ljubić is supported by the APART Fellowship of the Austrian Academy of Sciences. This support is greatly acknowledged. E. Álvarez-Miranda thanks the Institute of Advanced Studies of the Università di Bologna from where he is a PhD Fellow.