Robust solutions of Linear Programming problems contaminated with uncertain data

Optimal solutions of Linear Programming problems may become severely infeasible if the nominal data is slightly perturbed. We demonstrate this phenomenon by studying 90 LPs from the well-known NETLIB collection. We then apply the Robust Optimization methodology to produce ‘robust’ solutions of the above LPs which are in a sense immune against uncertainty. Surprisingly, for the NETLIB problems these robust solutions nearly lose nothing in optimality.