First order dependence on uncertainty sets in robust optimization

Details First order dependence on uncertainty sets in robust optimization First order dependence on uncertainty sets in robust optimization

2010-06-09

arxiv.org/abs/1006.1818v1

Mathematics

Optimization and Control

25 pages, 3 figures

Scientific paper

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.

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