Duality in robust optimization: Primal worst equals dual best

Duality in robust optimization: Primal worst equals dual best

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Article ID: iaor20102925
Volume: 37
Issue: 1
Start Page Number: 1
End Page Number: 6
Publication Date: Jan 2009
Journal: Operations Research Letters
Authors: ,
Keywords: duality
Abstract:

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 best possible data.

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