On using cardinality constrained uncertainty for objective coefficients in robust optimization

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In this paper, we discuss the issues of using the cardinality constrained approach, proposed by Bertsimas and Sim (2004), for uncertain objective coefficients in robust optimization. For a special case of a single constraint, we state the necessary and sufficient condition to avoid one of the issues. We also suggest a new robust model that does not suffer from the issues, while preserving the merits of using the cardinality constrained uncertainty.
Publisher
SPRINGER HEIDELBERG
Issue Date
2021-06
Language
English
Article Type
Article
Citation

OPTIMIZATION LETTERS, v.15, no.4, pp.1195 - 1214

ISSN
1862-4472
DOI
10.1007/s11590-020-01622-y
URI
http://hdl.handle.net/10203/285227
Appears in Collection
IE-Journal Papers(저널논문)
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