First order dependence on uncertainty sets in robust optimization

2010/06/09 by C. H. Jeffrey Pang, Pang, C. H. Jeffrey
Mathematics · #49J53 #90C31 #93D09 #FOS: Mathematics #Optimization and Control (math.OC) #math.OC #msc:49J53 #msc:90C31 #msc:93D09

paper · pdf · doi:10.48550/arxiv.1006.1818

25 pages, 3 figures

arxiv created 2010/06/09 · arxiv updated 2010/06/10

Abstract

We show that a first order problem can approximate solutions of a robust optimization problem when the uncertainty set is scaled, and explore further properties of this first order problem.

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