Robust Optimization — Methodology and Applications 1

  title={Robust Optimization — Methodology and Applications 1},
  author={Aharon Ben-Tal and Arkadi Nemirovski},
Robust Optimization (RO) is a modeling methodology, combined with computational tools, to process optimization problems in which the data are uncertain and is only known to belong to some uncertainty set. The paper surveys the main results of RO as applied to uncertain linear, conic quadratic and semidefinite programming. For these cases, computationally tractable robust counterparts of uncertain problems are explicitly obtained, or good approximations of these counterparts are proposed, making… CONTINUE READING
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