Oracle-Based Robust Optimization via Online Learning
نویسندگان
چکیده
منابع مشابه
Oracle-Based Robust Optimization via Online Learning
Robust optimization is a common framework in optimization under uncertainty when the problem parameters are not known, but it is rather known that the parameters belong to some given uncertainty set. In the robust optimization framework the problem solved is a min-max problem where a solution is judged according to its performance on the worst possible realization of the parameters. In many cas...
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For the data projection r and noise estimation e, we can get the closed-form solutions for them respectively, as shown in Algorithm 1.1. In particular, the closed-form solution to a projection to 1-ball in updating e involves a soft thresholding operator S λ [·] Hale et al. (2008), which is defined as:
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ژورنال
عنوان ژورنال: Operations Research
سال: 2015
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.2015.1374