Forum Discussion
Replace box constraints with Ellipsoid robust constraint
Hi I am attempting a robust optimisation problem using the knapsack example 1.2.1 in the robust doc as a template. I calculate the possible % deviation for each variable in the model (P23PERCENT). I...
Hi Pietro,
Thank you so much for such a detailed and considered response. The issue is much clearer now. Should I try set the right hand side of the ellipsoidal constraint as the upper limit of the uncertainty set?
Thanks again,
Will