Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations

@article{Chen2022RockafellianRI,
  title={Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations},
  author={Louis L. Chen and Johannes O. Royset},
  journal={ArXiv},
  year={2022},
  volume={abs/2204.04762}
}
. In practice, optimization models are often prone to unavoidable inaccuracies due to lack of data and dubious assumptions. Traditionally, this placed special emphasis on risk-based and robust formulations, and their focus on “conservative” decisions. We develop, in contrast, an “optimistic” framework based on Rockafellian relaxations in which optimization is conducted not only over the original decision space but also jointly with a choice of model perturbation. The framework enables us to… 

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