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 Will,
yes, the right hand side of the ellipsoidal constraint above is what determines the uncertainty: the smaller, the less uncertainty and the better the robust solution. Larger values of the right hand side imply more uncertainty, possibly resulting in an infeasible model.
Pietro