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