robust optimisation

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  • sh.mojtahedzadeh@gmail.com

    robust optimisation

    Dear all,

    I have a LP model here as follow:


    Min = .42*x1 + .56*x2 + .70*x3;


    S.t.
    x1 + x2 + x3 = 900;

    x1 <= 400 * y1;
    x2 <= 700 * y2;
    x3 <= 600 * y3;

    30*x1 <= 12500;
    40*x2 <= 20000;
    50*x3 <=15000;

    ..15*x1 + .2*x2 +.15*x3 >= 100;
    ..2*x1 + .05*x2 + .2*x3 >= 100;
    ..25*x1 + .15*x2+ .05*x3 >= 150;

    y1+y2+y3 = 2;


    xi>=0,
    yi=0, if x=o
    yi=1, if x>=o

    The constraints
    ..15*x1 + .2*x2 +.15*x3 >= 100;
    ..2*x1 + .05*x2 + .2*x3 >= 100;
    ..25*x1 + .15*x2+ .05*x3 >= 150;


    have uncertainties in x1, x2, and x3 coefficients. I want to know how
    can I make a robust optimisation model for this LP model?


    for example, if we know that all the coefficients have variations
    about 30%.


    Thank you,
    Shab
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