A New Robust Optimization Approach to Deal with Dependent Uncertain Parameters

Abstract

In the optimization problems with uncertain parameters, a solution is said to be robust if it is feasible with high probability regarding the realization of uncertain parameters. In this paper, a new robust approach is developed for the linear problems in which the model parameters are dependent on each other. The proposed approach converts the linear model to an equivalent integer linear programming one using the primal and dual theorem. The results of the paper indicate the ability of the new approach in fixing some inconsistency of the common robust optimization approach for the mentioned problem.