A unifying framework for duality and modeling in robust linear programs

In this paper, our major theme is a unifying framework for duality in robust linear programming. We show that there are two pair of dual programs allied with a robust linear program; one in which the primal is constructed to be “ultra-conservative” and one in which the primal is constructed to be “ultra-optimistic.” Furthermore, as one would expect, if the uncertainly in the primal is row-based, the corresponding uncertainty in the dual is column-based, and vice-versa. Several examples are provided that illustrate the properties of these primal and dual models.