TY - JOUR
T1 - Duality in robust optimization
T2 - Primal worst equals dual best
AU - Beck, Amir
AU - Ben-Tal, Aharon
PY - 2009/1
Y1 - 2009/1
N2 - 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.
AB - 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.
KW - Convex programming duality
KW - Optimistic counterpart
KW - Robust optimization
UR - http://www.scopus.com/inward/record.url?scp=58049112974&partnerID=8YFLogxK
U2 - 10.1016/j.orl.2008.09.010
DO - 10.1016/j.orl.2008.09.010
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:58049112974
SN - 0167-6377
VL - 37
SP - 1
EP - 6
JO - Operations Research Letters
JF - Operations Research Letters
IS - 1
ER -