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Robust counterparts of inequalities containing sums of maxima of linear functions

This paper addresses the robust counterparts of optimization problems containing sums of maxima of linear functions. These problems include many practical problems, e.g. problems with sums of absolute values, and arise when taking the robust counterpart of a linear inequality that is affine in the decision variables, affine in a parameter with box uncertainty, and affine in a parameter with general uncertainty.
Year of publication:
2013
Authors: Gorissen, Bram L. ; den Hertog, Dick
Published in:
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 227.2013, 1, p. 30-43
Publisher: Elsevier
Subject: Robustness and sensitivity analysis | Sum of maxima of linear functions | Biaffine uncertainty | Robust conic quadratic constraints
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10010608510
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