A new correlated polyhedral uncertainty set for robust optimization

• Published in: Computers & industrial engineering Vol. 157; p. 107346
• Main Authors: Daneshvari, Hamed, Shafaei, Rasoul
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.07.2021
• Subjects: Correlation; Over conservatism; Polyhedral uncertainty set; Robust optimization; Over conservatism; Correlation; Robust optimization; Polyhedral uncertainty set

•The correlation between coefficients should be considered in robust optimization.•Including perturbations with low probability of occurrence leads to over conservatism.•An estimation of correlation matrix is applied to introduce the new uncertainty set.•A decision making parameter is applied to for...