A tractable approach for designing piecewise affine policies in two-stage adjustable robust optimization

DOI10.1007/s10107-019-01385-0zbMath1445.90071arXiv1801.06751MaRDI QIDQ2191764

Aharon Ben-Tal, Vineet Goyal, Omar El Housni

Publication date: 26 June 2020

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.06751

zbMATH Keywords

uncertainty set; dominating simplex

Mathematics Subject Classification ID

90C47: Minimax problems in mathematical programming

90C39: Dynamic programming

49K35: Optimality conditions for minimax problems

90C17: Robustness in mathematical programming