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arXiv:1006.1818 [math.OC]AbstractReferencesReviewsResources

First order dependence on uncertainty sets in robust optimization

C. H. Jeffrey Pang

Published 2010-06-09Version 1

We show that a first order problem can approximate solutions of a robust optimization problem when the uncertainty set is scaled, and explore further properties of this first order problem.

Comments: 25 pages, 3 figures
Categories: math.OC
Subjects: 90C31, 93D09, 49J53
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