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Scenario relaxation algorithm for finite scenario-based min-max regret and min-max relative regret robust optimization.

Tiravat AssavapokeeMatthew J. RealffJane C. AmmonsI-Hsuan Hong
Published in: Comput. Oper. Res. (2008)
Keyphrases
  • min max
  • max min
  • robust optimization
  • relaxation algorithm
  • lower bound
  • loss function
  • worst case
  • game theory
  • training data
  • objective function
  • support vector
  • regularized least squares