First order dependence on uncertainty sets in robust optimization
Optimization and Control
2010-06-10 v1
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.
Keywords
Cite
@article{arxiv.1006.1818,
title = {First order dependence on uncertainty sets in robust optimization},
author = {C. H. Jeffrey Pang},
journal= {arXiv preprint arXiv:1006.1818},
year = {2010}
}
Comments
25 pages, 3 figures