Characterizing robust set containments and solutions of uncertain linear programs without qualifications |
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Authors: | V. Jeyakumar Guoyin Li |
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Affiliation: | Department of Applied Mathematics, University of New South Wales, Sydney 2052, Australia |
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Abstract: | Qualification-free dual characterizations are given for robust polyhedral set containments where a robust counterpart of an uncertain polyhedral set is contained in another polyhedral set or a polyhedral set is contained in a robust counterpart of an uncertain polyhedral set. These results are used to characterize robust solutions of uncertain linear programs, where the uncertainty is defined in terms of intervals or l1-balls. The hidden separable sub-linearity of the robust counterparts allows qualification-free dual characterizations. |
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Keywords: | Robust optimization Uncertain linear programming |
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