Weighted robust optimality of convex optimization problems with data uncertainty (Q2191283): Difference between revisions

The authors consider an uncertain optimization problem where the objective and constraints are functions depending on certain and uncertain variables. Both the objective and the constraints are convex with respect to the certain variables. The weighted robust counterpart of the considered uncertain optimization problem is introduced by assigning a weight to each uncertain parameter of the objective function. It is shown that an optimal solution of the weighted robust counterpart of the uncertain optimization problem is a weakly Pareto optimal solution of the introduced unconstrained multicriteria optimization problem. The authors obtain the conditions ensuring a nonempty intersection of the set of optimal solutions of the weighted uncertain optimization problem and the set of Pareto optimal solutions of the unconstrained multicriteria optimization problem. Finally, the authors study the weighted robust optimal solution set of the uncertain optimization problem, introduce the notion of a robust constraint qualification, and derive optimality properties for the feasible points.