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Robust counterparts of inequalities containing sums of maxima of linear functions

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  • Gorissen, Bram L.
  • den Hertog, Dick

Abstract

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.

Suggested Citation

  • Gorissen, Bram L. & den Hertog, Dick, 2013. "Robust counterparts of inequalities containing sums of maxima of linear functions," European Journal of Operational Research, Elsevier, vol. 227(1), pages 30-43.
    • Handle: RePEc:eee:ejores:v:227:y:2013:i:1:p:30-43
    DOI: 10.1016/j.ejor.2012.10.007
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