| Article ID: | iaor2005726 |
| Country: | Netherlands |
| Volume: | 32 |
| Issue: | 6 |
| Start Page Number: | 510 |
| End Page Number: | 516 |
| Publication Date: | Nov 2004 |
| Journal: | Operations Research Letters |
| Authors: | Bertsimas Dimitris, Sim Melvyn, Pachamanova Dessislava |
| Keywords: | programming: linear |
We explicitly characterize the robust counterpart of a linear programming problem with uncertainty set described by an arbitrary norm. Our approach encompasses several approaches from the literature and provides guarantees for constraint violation under probabilistic models that allow arbitrary dependencies in the distribution of the uncertain coefficients.