We present a robust optimization approach to 0-1 linear programming with uncertain objective coefficients based on a safe tractable approximation of chance constraints, when only the first two moments and the support of the random parameters is known. We obtain nonlinear problems with only one additional (continuous) variable, for which we discuss solution techniques. The resulting robust optimization problem can be interpreted as a nominal problem with modified coefficients. We compare our approach with Bertsimas and Sim (2003). In numerical experiments, we obtain solutions of similar quality in faster time.
Citation
Technical report, Lehigh University, 2014.