robust counterpart

Computationally tractable counterparts of distributionally robust constraints on risk measures

  • Dick den Hertog
  • Krzysztof Postek
  • Bertrand Melenberg
    • Categories Robust Optimization Tags , , , ,

    In optimization problems appearing in fields such as economics, finance, or engineering, it is often important that a risk measure of a decision-dependent random variable stays below a prescribed level. At the same time, the underlying probability distribution determining the risk measure’s value is typically known only up to a certain degree and the constraint … Read more

    Deriving robust counterparts of nonlinear uncertain inequalities

  • Aharon Ben-Tal
  • Dick den Hertog
  • Jean-Philippe Vial
    • Categories Constrained Nonlinear Optimization, Linear, Cone and Semidefinite Programming, Robust Optimization Tags , , , ,

    In this paper we provide a systematic way to construct the robust counterpart of a nonlinear uncertain inequality that is concave in the uncertain parameters. We use convex analysis (support functions, conjugate functions, Fenchel duality) and conic duality in order to convert the robust counterpart into an explicit and computationally tractable set of constraints. It … Read more