Abstract
We consider the linear programming problem with uncertainty set described by -norm. We suggest that the robust counterpart of this problem is equivalent to a computationally convex optimization problem. We provide probabilistic guarantees on the feasibility of an optimal robust solution when the uncertain coefficients obey independent and identically distributed normal distributions.
Citation
Lei Wang. Hong Luo. "Robust Linear Programming with Norm Uncertainty." J. Appl. Math. 2014 (SI24) 1 - 7, 2014. https://doi.org/10.1155/2014/209239