A note on robust 0-1 optimization with uncertain cost coefficients

Abstract

Based on the recent approach of Bertsimas and Sim (2004, 2003) to robust optimization in the presence of data uncertainty, we prove an easily computable and simple bound on the probability that the robust solution gives an objective function value worse than the robust objective function value, under the assumption that only cost coefficients are subject to uncertainty. We exploit the binary nature of the optimization problem in proving our results. A discussion on the cost of ignoring uncertainty is also included.