Cutting-set methods for robust convex optimization with pessimizing oracles
نویسندگان
چکیده
منابع مشابه
Cutting-set methods for robust convex optimization with pessimizing oracles
We consider a general worst-case robust convex optimization problem, with arbitrary dependence on the uncertain parameters, which are assumed to lie in some given set of possible values.We describe a general method for solving such a problem, which alternates between optimization and worst-case analysis. With exact worst-case analysis, the method is shown to converge to a robust optimal point. ...
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ژورنال
عنوان ژورنال: Optimization Methods and Software
سال: 2009
ISSN: 1055-6788,1029-4937
DOI: 10.1080/10556780802712889