A robust robust optimization result

DOI10.1016/J.ORL.2011.10.010MaRDI QIDQ433824zbMATH OpenOpenAlexFDO

Authors Martina Gancarova, Michael J. Todd

Publication date 6 July 2012

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.5656

zbMATH Keywords

robust optimizationprobabilistic analysissensitivity of objective

Mathematics Subject Classification ID

Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

Abstract: We study the loss in objective value when an inaccurate objective is optimized instead of the true one, and show that "on average" this loss is very small, for an arbitrary compact feasible region.

Recommendations

• Robust convex optimization
• The Price of Robustness
• A survey of robust optimization
• A robustification approach in unconstrained quadratic optimization
• On robust multiobjective optimization

Cites work

• A robust robust optimization result
• Robust optimization
• Robust solutions of linear programming problems contaminated with uncertain data
• Robust solutions of uncertain linear programs
• Tractable approximations to robust conic optimization problems

Cited in

(4)

• scientific article; zbMATH DE number 5618680 (Why is no real title available?)
• A robust robust optimization result
• Recent advances in robust optimization: an overview
• Robust performance for both fixed and worst-case inputs

This page was built for publication: A robust robust optimization result

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433824)