Journal
MATHEMATICAL PROGRAMMING
Volume 88, Issue 3, Pages 411-424Publisher
SPRINGER-VERLAG
DOI: 10.1007/PL00011380
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Optimal solutions of Linear Programming problems may become severely infeasible if the nominal data is slightly perturbed. We demonstrate this phenomenon by studying 90 LPs from the well-known NETLIB collection. We then apply the Robust Optimization methodology (Ben-Tal and Nemirovski [1-3]; El Ghaoui et al. [5,6]) to produce robust solutions of the above LPs which are in a sense immuned against uncertainty. Surprisingly, for the NETLIB problems these robust solutions nearly lose nothing in optimality.
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