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A Utility Theory Based Interactive Approach to Robustness in Linear Optimization
2017
Journal of Global Optimization
We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. After introducing our approach, we develop interactive cutting-plane algorithms for robust optimization, based on concave and quasi-concave utility functions. In addition to practical advantages, due to the flexibility of our approach, we are able to prove that under a theoretical framework due to Bertsimas and Sim [14], which
doi:10.1007/s10898-017-0581-2
fatcat:hzt3gskmjjfqndlr44ocfqbpqq