Continuous Optimization - Sina Rezazadeh

Title: Comprehensive robust counterparts of uncertain problems

Abstract:

We continue our study of Robust Optimization by discussing the paper by Ben-Tal,  Boyd and Nemirovski, "Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems." The chief purpose of the paper is to present a comprehensive robust counterpart (CRC) of an uncertain problem which not only guarantees a normal performance in presence of typical uncertainty, but also manages the deterioration in case of large deviation from uncertain data.