Duality in robust optimization: Primal worst equals dual best |
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| Authors: | Amir Beck Aharon Ben-Tal |
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| Institution: | Department of Industrial Engineering and Management, Technion—Israel Institute of Technology, Haifa 32000, Israel |
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| Abstract: | We study the dual problems associated with the robust counterparts of uncertain convex programs. We show that while the primal robust problem corresponds to a decision maker operating under the worst possible data, the dual problem corresponds to a decision maker operating under the best possible data. |
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| Keywords: | Robust optimization Optimistic counterpart Convex programming duality |
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