Application of robust optimization for a linear model of operation of a small enterprise
DOI:
https://doi.org/10.20535/mmtu-2018.1-061Keywords:
Optimization problem, Robust optimization, Robust counterpart, Uncertainty set.Abstract
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.References
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