Robust optimization: Difference between revisions

Revision as of 04:22, 16 March 2009

Revision as of 18:43, 16 March 2009

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:<math>\min_x {\max_{s \in S} f(x; s)}\, x \in X(t)\, \forall t \in S,</math>

The policy (x) is required to be feasible no matter what parameter value (scenario) occurs; hence, it is required to be in the intersection of all possible X(s). The inner maximization yields the worst possible objective value among all scenarios. There are variations, such as "adjustability" (i.e., recourse).

== See also ==

* [[Info-gap decision theory]]

* [[Minimax]]

* [[Minimax regret]]

== References==