Duality in robust optimization: Primal worst equals dual best
نویسندگان
چکیده
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. © 2008 Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- Oper. Res. Lett.
دوره 37 شماره
صفحات -
تاریخ انتشار 2009