First order dependence on uncertainty sets in robust optimization Published: 2010/06/12 C.H. Jeffrey PangCategories Nonsmooth Optimization, Robust Optimization Tags robust optimization, sensitivity analysis, uncertainty sets, variational analysis Short URL: https://optimization-online.org/?p=11173 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. ArticleDownload View PDF