Robust optimization: Difference between revisions

Revision as of 17:35, 9 October 2010

Revision as of 23:25, 23 October 2010

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== History ==

The origins of robust optimization date back to the establishment of modern [[decision theory]] in the 1950s and the use of '''worst case analysis''' and [[Wald's_maximin_model|Wald's maximin model]] as a tool for the treatment of severe uncertainty. It became a field of its own in the 1970s with parallel developments in fields such as [[operations research]], [[control theory]], [[statistics]], [[economics]], and more.

== Example ==

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== Non-probabilistic robust optimization models ==

The dominating paradigm in this area of robust optimization is [[Wald's_maximin_model|Wald's maximin model]], namely

: <math>\max_{x\in X}\min_{u\in U(x)} f(x,u)</math>