A Primal-Dual Perspective on Adaptive Robust Linear Optimization

Adaptive robust optimization is a modelling paradigm for multistage optimization under uncertainty where one seeks decisions that minimize the worst-case cost with respect to all possible scenarios in a prescribed uncertainty set. However, optimal policies for adaptive robust optimization problems are difficult to compute. Therefore, one often restricts to the class of affine policies which … Read more

Tractable approximation of hard uncertain optimization problems

Robust Optimization is a widespread approach to treat uncertainty in optimization problems. Finding a computationally tractable formulation of the robust counterpart of an uncertain optimization problem is a key step in applying this approach. Techniques for finding a computationally tractable robust counterpart are available for constraints concave in the uncertain parameters. In many problems, however, … Read more