A relaxation algorithm with a probabilistic guarantee for robust deviation optimization

A relaxation algorithm with a probabilistic guarantee for robust deviation optimization

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Article ID: iaor20106363
Volume: 47
Issue: 1
Start Page Number: 1
End Page Number: 31
Publication Date: Sep 2010
Journal: Computational Optimization and Applications
Authors: , ,
Keywords: programming: quadratic
Abstract:

Three measures of robustness (absolute robustness, deviation robustness and relative robustness), whose choice depends on the goals of the decision maker, have been proposed for uncertain optimization problems. Absolute robustness has been thoroughly studied, whereas the others have been studied to less of a degree.

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