Application of robust optimization for a linear model of operation of a small enterprise

Iryna V. Alieksieieva, Tetiana I. Perevozniuk


In this paper the modern approach of solving linear optimization problems with uncertainty is presented. It involves the construction of a robust counterpart of the initial deterministic problem.

Depending on the uncertainty sets, a robust optimization problem is brought either to a standard linear programming problem, or to a more complex nonlinear problem. Using the robust linear model, the problem of finding the income of a small enterprise for various types of uncertainty sets is solved. Numerical realization of solutions is made using the package of MATLAB applications.


Optimization problem; Robust optimization; Robust counterpart; Uncertainty set.


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