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    Huo Zimu
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    This document provides an overview of lecture 7 on robust linear optimization. It discusses the motivation for robust optimization in decision making when data is uncertain. It then presents the robust linear optimization model and two solution methods - the first finds an approximate solution by solving a linear program, while the second directly solves the robust model but has higher computational costs.

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    Lecture7

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    This document provides an overview of lecture 7 on robust linear optimization. It discusses the motivation for robust optimization in decision making when data is uncertain. It then presents the robust linear optimization model and two solution methods - the first finds an approximate solution by solving a linear program, while the second directly solves the robust model but has higher computational costs.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    6 views15 pages

    Lecture 7

    Uploaded by

    Huo Zimu
    This document provides an overview of lecture 7 on robust linear optimization. It discusses the motivation for robust optimization in decision making when data is uncertain. It then presents the robust linear optimization model and two solution methods - the first finds an approximate solution by solving a linear program, while the second directly solves the robust model but has higher computational costs.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    of 15

    LECTURE 7: ROBUST

    LINEAR OPTIMIZATION
    1. Motivation
    2. Robust model
    3. Solution methods
    Motivation
    • Example: Pharmaceutic decision making
    (from Prof. Tom Luo)
    Data sheet
    LP formulation
    Situation analysis
    Robust LP model
    Simple form robust LP
    • Define

    • Consider
    Assumptions in decision making
    Mathematics involved
    Semi-infinite LP
    Properties of (RLP)sI
    Solution method 1

    • Pros: Solved by LP
    • Cons: An approximation solution
    Solution method 2

    • Consider
    Solution method 2
    Computational bottleneck

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