Duality in robust optimization: Primal worst equals dual best.
Amir BeckAharon Ben-TalPublished in: Oper. Res. Lett. (2009)
Keyphrases
- robust optimization
- duality gap
- dual formulation
- primal dual
- linear programming
- semidefinite programming
- mathematical programming
- chance constrained
- augmented lagrangian
- stochastic programming
- dual variables
- convex optimization
- portfolio optimization
- total variation
- linear program
- optimal solution
- risk measures
- lot sizing
- simplex algorithm
- algorithm for linear programming
- decision theory
- approximation algorithms
- convergence rate
- random variables
- image restoration
- dynamic programming
- search algorithm
- support vector
- learning algorithm
- machine learning