Robust Linear Optimization and Chance Constraints

The question posed in the title of this section goes beyond general-type theoretical considerations — this is mainly a modeling issue that should be resolved on the basis of application-driven considerations. There is however a special case where this question makes sense and can, to some extent, be answered — this is the case where our goal is not to build an uncertainty model “from scratch,” but rather to translate an already existing uncertainty model, namely, a stochastic one, to the language of “uncertain-but-bounded” perturbation sets and the associated robust counterparts. By exactly the same reasons as in the previous section, we can restrict our considerations to the case of a single uncertainty-affected linear inequality – a family { ax ≤ b } [a;b]∈U , (1.3.4)