Article ID: | iaor20102925 |
Volume: | 37 |
Issue: | 1 |
Start Page Number: | 1 |
End Page Number: | 6 |
Publication Date: | Jan 2009 |
Journal: | Operations Research Letters |
Authors: | Ben-Tal Aharon, Beck Amir |
Keywords: | duality |
We study the dual problems associated with the robust counterparts of uncertain convex programs. We show that while the primal robust problem corresponds to a decision maker operating under the worst possible data, the dual problem corresponds to a decision maker operating under the