Originally posted by: SystemAdmin

I am a bit confused as to how to formulate the robust optimisation counterpart for the following problem,

Consider the random linear constraint SUMj ( ~aijxj ) <= bi, where ~aij's are the random parameters,
Assume ~aij belongs to the uncertainty interval aij-aij*, aij + aij* for all j=1...n, and in addition
SUMj |~aij-aij| <= r for all j=1...n

Formulate the robust counterpart for this random constraint.
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