On the approximability of adjustable robust convex optimization under uncertainty

DOI10.1007/s00186-012-0405-6zbMath1285.90021OpenAlexW2017002354MaRDI QIDQ2392812

Vineet Goyal, Dimitris J. Bertsimas

Publication date: 2 August 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/87619

zbMATH Keywords

minimax problemrobust optimizationuncertain constraintsadjustable robust convex optimizationapproximability with static robust solutionuncertain objectives

Mathematics Subject Classification ID

Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47) Quadratic programming (90C20) Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Stochastic network models in operations research (90B15) Deterministic scheduling theory in operations research (90B35)

Related Items (12)

Exact dual semi-definite programs for affinely adjustable robust SOS-convex polynomial optimization problems ⋮ When are static and adjustable robust optimization problems with constraint-wise uncertainty equivalent? ⋮ Relaxation schemes for the joint linear chance constraint based on probability inequalities ⋮ On the adaptivity gap in two-stage robust linear optimization under uncertain packing constraints ⋮ Conditions under which adjustability lowers the cost of a robust linear program ⋮ Stochastic linear programming with a distortion risk constraint ⋮ Robust combinatorial optimization under convex and discrete cost uncertainty ⋮ A survey of adjustable robust optimization ⋮ Exact conic programming reformulations of two-stage adjustable robust linear programs with new quadratic decision rules ⋮ Saddle point approximation approaches for two-stage robust optimization problems ⋮ Oracle-based algorithms for binary two-stage robust optimization ⋮ Robust optimal consumption-investment strategy with non-exponential discounting

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