On the approximability of adjustable robust convex optimization under uncertainty

Abstract

In this paper, we consider adjustable robust versions of convex optimization problems with uncertain constraints and objectives and show that under fairly general assumptions, a static robust solution provides a good approximation for these adjustable robust problems. An adjustable robust optimization problem is usually intractable since it requires to… (More)
DOI: 10.1007/s00186-012-0405-6

Topics

1 Figure or Table

Slides referencing similar topics