Duality in robust optimization: Primal worst equals dual best

Abstract

We study the dual problems associated with the robust counterparts of uncertain convex programs. We show that while the primal robust problem corresponds to a decision maker operating under the worst possible data, the dual problem corresponds to a decision maker operating under the best possible data. © 2008 Elsevier B.V. All rights reserved.

DOI: 10.1016/j.orl.2008.09.010

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@article{Beck2009DualityIR, title={Duality in robust optimization: Primal worst equals dual best}, author={Amir Beck and Aharon Ben-Tal}, journal={Oper. Res. Lett.}, year={2009}, volume={37}, pages={1-6} }