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An Exact Formula for Radius of Robust Feasibility of Uncertain Linear Programs

Author

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  • T. D. Chuong

    (University of New South Wales)

  • V. Jeyakumar

    (University of New South Wales)

Abstract

We present an exact formula for the radius of robust feasibility of uncertain linear programs with a compact and convex uncertainty set. The radius of robust feasibility provides a value for the maximal ‘size’ of an uncertainty set under which robust feasibility of the uncertain linear program can be guaranteed. By considering spectrahedral uncertainty sets, we obtain numerically tractable radius formulas for commonly used uncertainty sets of robust optimization, such as ellipsoids, balls, polytopes and boxes. In these cases, we show that the radius of robust feasibility can be found by solving a linearly constrained convex quadratic program or a minimax linear program. The results are illustrated by calculating the radius of robust feasibility of uncertain linear programs for several different uncertainty sets.

Suggested Citation

  • T. D. Chuong & V. Jeyakumar, 2017. "An Exact Formula for Radius of Robust Feasibility of Uncertain Linear Programs," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 203-226, April.
    • Handle: RePEc:spr:joptap:v:173:y:2017:i:1:d:10.1007_s10957-017-1067-6
    DOI: 10.1007/s10957-017-1067-6
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    References listed on IDEAS

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    1. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
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    3. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2015. "Robust solutions to multi-objective linear programs with uncertain data," European Journal of Operational Research, Elsevier, vol. 242(3), pages 730-743.
    4. Bram L. Gorissen & Hans Blanc & Dick den Hertog & Aharon Ben-Tal, 2014. "Technical Note---Deriving Robust and Globalized Robust Solutions of Uncertain Linear Programs with General Convex Uncertainty Sets," Operations Research, INFORMS, vol. 62(3), pages 672-679, June.
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    Citations

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    Cited by:

    1. Daniel Woolnough & Niroshan Jeyakumar & Guoyin Li & Clement T Loy & Vaithilingam Jeyakumar, 2022. "Robust Optimization and Data Classification for Characterization of Huntington Disease Onset via Duality Methods," Journal of Optimization Theory and Applications, Springer, vol. 193(1), pages 649-675, June.
    2. Thai Doan Chuong, 2021. "Radius of Robust Global Error Bound for Piecewise Linear Inequality Systems," Journal of Optimization Theory and Applications, Springer, vol. 191(1), pages 68-82, October.
    3. Frauke Liers & Lars Schewe & Johannes Thürauf, 2022. "Radius of Robust Feasibility for Mixed-Integer Problems," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 243-261, January.
    4. M. A. Goberna & M. A. López, 2018. "Recent contributions to linear semi-infinite optimization: an update," Annals of Operations Research, Springer, vol. 271(1), pages 237-278, December.
    5. Johannes Thürauf, 2022. "Deciding the feasibility of a booking in the European gas market is coNP-hard," Annals of Operations Research, Springer, vol. 318(1), pages 591-618, November.
    6. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2018. "Guaranteeing highly robust weakly efficient solutions for uncertain multi-objective convex programs," European Journal of Operational Research, Elsevier, vol. 270(1), pages 40-50.
    7. Jiawei Chen & Jun Li & Xiaobing Li & Yibing Lv & Jen-Chih Yao, 2020. "Radius of Robust Feasibility of System of Convex Inequalities with Uncertain Data," Journal of Optimization Theory and Applications, Springer, vol. 184(2), pages 384-399, February.
    8. M. A. Goberna & V. Jeyakumar & G. Li, 2021. "Calculating Radius of Robust Feasibility of Uncertain Linear Conic Programs via Semi-definite Programs," Journal of Optimization Theory and Applications, Springer, vol. 189(2), pages 597-622, May.
    9. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2022. "The radius of robust feasibility of uncertain mathematical programs: A Survey and recent developments," European Journal of Operational Research, Elsevier, vol. 296(3), pages 749-763.
    10. Vo Si Trong Long, 2024. "On Global Error Bounds for Convex Inequalities Systems," Journal of Optimization Theory and Applications, Springer, vol. 202(3), pages 1359-1384, September.

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