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First order dependence on uncertainty sets in robust optimization

C.H. Jeffrey Pang(chj2pang***at***math.uwaterloo.ca)

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: Robust optimization, sensitivity, uncertainty sets, variational analysis.

Category 1: Robust Optimization

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )


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Entry Submitted: 06/12/2010
Entry Accepted: 06/12/2010
Entry Last Modified: 06/12/2010

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