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A Robust Robust Optimization Result

Optimization and Control 2011-05-02 v1
Authors: Martina Gancarova , Michael Todd
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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.

Keywords

optimization optimization and approximation theory statistical inference

Cite

@article{arxiv.1104.5656,
  title  = {A Robust Robust Optimization Result},
  author = {Martina Gancarova and Michael Todd},
  journal= {arXiv preprint arXiv:1104.5656},
  year   = {2011}
}

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