Work

First order dependence on uncertainty sets in robust optimization

Year: 2010

Type: preprint

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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1006.1818

Author: Pang, C. H. Jeffrey

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1884648577

Cites: 6

Cited by:

Related to: 10