bv_cvxbook_extra_exercises

xn each with probability 1n the third function is

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: why the optimal value of the dual is f (x). (c) Use the expression for f (x) found in part (b) in the original problem, to obtain a single LP equivalent to the original robust LP. (d) Carry out the method found in part (c) to solve a robust LP with data rand(’seed’,0); A = rand(30,10); b = rand(30,1); c_nom = 1+rand(10,1); % nominal c values and C described as follows. Each ci deviates no more than 25% from its nominal value, i.e., 0.75cnom c 1.25cnom , and the average of c does not deviate more than 10% from the average of the nominal values, i.e., 0.9(1T cnom )/n ≤ 1T c/n ≤ 1.1(1T cnom )/n. 37 Compare the worst-case cost f (x) and the nominal cost cT x for x optimal for the robust nom problem, and for x optimal for the nominal problem (i.e., the case where C = {cnom }). Compare the values and make a brief comment. 4.22 Diagonal scaling with prescribed column and row sums. Let A be an n × n matrix with positive entries, and let c and d be positive n-vectors that satisfy 1T c...
View Full Document

Ask a homework question - tutors are online