When conducting robust optimization
I. The right-hand side of each ≤ constraint should be replaced with the minimum value.
II. The right-hand side of each ≤ constraint should be replaced with the maximum value.
III. The right-hand side of each ≥ constraint should be replaced with the maximum value.
A) I only
B) II only
C) III only
D) I and III only
E) II and III only

Question

Quizplus · Accepted Answer

In robust optimization, we want to maximize the worst-case scenario or minimize the maximum possible loss. Therefore, for ≤ constraints, we should use the minimum value on the right-hand side as this would maximize the variable while ensuring that it satisfies the constraint. For ≥ constraints, we should use the maximum value on the right-hand side as this would minimize the variable while ensuring that it satisfies the constraint.  So, both I and III are correct. On the other hand, using the maximum value on the right-hand side of a ≤ constraint or using the minimum value on the right-hand side of a ≥ constraint could result in suboptimal or infeasible solutions. Therefore, II is not correct.

When Conducting Robust Optimization