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Robust convex optimization: A new perspective that unifies and extends |
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| Authors: | Bertsimas Dimitris Hertog Dick den Pauphilet Jean Zhen Jianzhe |
| Affiliation: | 1.Sloan School of Management, Massachusetts Institute of Technology, Cambridge, MA, United States ;2.Amsterdam Business School, University of Amsterdam, Amsterdam, The Netherlands ;3.London Business School, London, United Kingdom ;4.swissQuant, Zürich, Switzerland ; |
| Abstract: | Mathematical Programming - Robust convex constraints are difficult to handle, since finding the worst-case scenario is equivalent to maximizing a convex function. In this paper, we propose a new... |
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