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Worst value and robust value for general optimization problem under uncertainty data

Year: 2024

Type: article

Abstract: In this paper we consider general form of a optimization problem in face of data uncertainty. We determine a necessary and sufficient condition ensuring the equality between the worst value and the robust value of this uncertain problem with attainment of the worst value. And we deduce robust strong duality and robust stable strong duality property. Keywords: Uncertain optimization problem; Robust counterpart; Robust value; Worst value; Robust strong duality. Mathematics Subject Classification: 90C17, 90C31, 90C46

Source: Sciences des Structures et de la Matiere

DOI: 10.70974/mat08224024

Authors: Ali Ouédraogo, Moussa Barro, Sado Traoré

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4405515465

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