Abstract
Various aspect of the robust optimization approach [11] are discussed in the context of scenario based stochastic linear programs. The main items are the choice of the model parameter, which can be related to properties of nonlinearly perturbed linear programs [10] or of parametric quadratic programs [1], and an extension of the first results on the robustness of the optimal value with respect to probabilities of the selected scenarios and with respect to out-of-sample scenarios, cf. [5].
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Dupačová, J. (1998). Reflections on Robust Optimization. In: Marti, K., Kall, P. (eds) Stochastic Programming Methods and Technical Applications. Lecture Notes in Economics and Mathematical Systems, vol 458. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-45767-8_6
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DOI: https://doi.org/10.1007/978-3-642-45767-8_6
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