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Dergiler / Yöneylem Araştırması Dergisi / 2004 / Cilt: 16 - Sayı: 1

A unified model for robust optimization of linear programs with uncertain parameters

Payam HANAFIZADEH
Abbas SEIFI
Sayfa
25–45
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The numerical results indicate that choosing $ l_infty $ norm leads to higher utility for an investor when the uncertainty region is large.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This paper presents a general model for unification of the robust counterparts of uncertain linear programs (LP).
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Temel Bulgular & Veri:We derive the robust counterpart of an LP whose parameters may fall in any of the $ l_1,l_2,l_infty $ or matrix-norm bodies.
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Sonuç & Katkı:The numerical results indicate that choosing $ l_infty $ norm leads to higher utility for an investor when the uncertainty region is large.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

Abstract

This paper presents a general model for unification of the robust counterparts of uncertain linear programs (LP). We extend the robust optimization methodology for LP, introduced by Ben-Tal and Nemirovski, to a unified model in which the uncertainty region is approximated by an appropriate norm body. We derive the robust counterpart of an LP whose parameters may fall in any of the $ l_1,l_2,l_infty $ or matrix-norm bodies. An application to portfolio selection shows how an investor's risk can be measured by a proper norm. Then, various solutions are shown for a practical example. The numerical results indicate that choosing $ l_infty $ norm leads to higher utility for an investor when the uncertainty region is large.

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Bu Makaleye Atıf Yap

HANAFIZADEH, P., SEIFI, A. (2004). A unified model for robust optimization of linear programs with uncertain parameters. Yöneylem Araştırması Dergisi, Cilt: 16 - Sayı: 1, 25–45. https://ajindex.com/articles/332323

Kaynakça (17)

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