A Scenario-Based Approach for Robust Linear Optimization

Research Area: Robust Optimization Algorithms Year: 2011
Type of Publication: In Proceedings
Authors: Marc Goerigk; Anita Schöbel
Book title: The 1st International ICST Conference on Theory and Practice of Algorithms in (Computer) Systems (TAPAS)
Series: LNCS
to appear
Finding robust solutions of an optimization problem is an important issue in practice. The established concept of Ben-Tal et al. requires that a robust solution is feasible for all possible scenarios. However, this concept is very conservative and hence may lead to solutions with a bad objective value and is in many cases hard to solve. Thus it is not suitable for most practical applications. In this paper we suggest an algorithm for calculating robust solutions that is easy to implement and not as conservative as the strict robustness approach. We show some theoretical properties of our approach and evaluate it using linear programming problems from NetLib? .
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