Pareto Robust Optimization on Euclidean Vector Spaces
Pareto efficiency for robust linear programs was introduced by Iancu and Trichakis. We generalize their approach and theoretical results to robust optimization problems in Euclidean spaces with affine uncertainty. Additionally, we demonstrate the value of this approach in an exemplary manner in the area of robust semidefinite programming (SDP). In particular, we prove that computing … Read more