On the Optimality of Affine Policies for Budgeted Uncertainty Sets

@article{Housni2019OnTO,
  title={On the Optimality of Affine Policies for Budgeted Uncertainty Sets},
  author={Omar El Housni and Vineet Goyal},
  journal={arXiv: Optimization and Control},
  year={2019}
}
In this paper, we study the performance of affine policies for two-stage adjustable robust optimization problem with fixed recourse and uncertain right hand side belonging to a budgeted uncertainty set. This is an important class of uncertainty sets widely used in practice where we can specify a budget on the adversarial deviations of the uncertain parameters from the nominal values to adjust the level of conservatism. The two-stage adjustable robust optimization problem is hard to approximate… 

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