On using cardinality constrained uncertainty for objective coefficients in robust optimization

Abstract

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.