LECTURE 7: ROBUST LINEAR OPTIMIZATION

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LECTURE 7: ROBUST LINEAR OPTIMIZATION 1. Motivation 2. Robust model 3. Solution methods

Transcript of LECTURE 7: ROBUST LINEAR OPTIMIZATION

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LECTURE 7: ROBUST LINEAR OPTIMIZATION1. Motivation2. Robust model3. Solution methods

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Motivation• Example: Pharmaceutic decision making

(from Prof. Tom Luo)

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Data sheet

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LP formulation

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Situation analysis

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Robust LP model

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Simple form robust LP• Define

• Consider

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Assumptions in decision making

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Mathematics involved

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Semi-infinite LP

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Properties of (RLP)sI

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Solution method 1

• Pros: Solved by LP• Cons: An approximation solution

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Solution method 2

• Consider

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Solution method 2

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Computational bottleneck


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