Robust optimization: Sensitivity to uncertainty in scalar and vector cases, with applications
The question we address is how robust solutions react to changes in the uncertainty set. We prove the location of robust solutions with respect to the magnitude of a possible decrease in uncertainty, namely when the uncertainty set shrinks, and convergence of the sequence of robust solutions.In deci...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2018-01-01
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| Series: | Operations Research Perspectives |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716017301501 |