A robust robust optimization result

DOI10.1016/J.ORL.2011.10.010zbMATH Open1242.90249arXiv1104.5656OpenAlexW2125530743MaRDI QIDQ433824FDOQ433824

Authors: Martina Gancarova, Michael J. Todd 

Publication date: 6 July 2012

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

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.

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

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zbMATH Keywords

robust optimizationprobabilistic analysissensitivity of objective

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• A robust robust optimization result
• Recent advances in robust optimization: an overview
• Robust performance for both fixed and worst-case inputs
• Title not available (Why is that?)

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