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A Robust Robust Optimization Result

By Martina Gancarova and Michael Todd

Abstract

We study the loss in objective value when an inaccurate objective is optimized instead of the true one, and show that "on average" this loss is very small, for an arbitrary compact feasible region

Topics: Mathematics - Optimization and Control, 90C31, 90C05, 65K99
Year: 2011
OAI identifier: oai:arXiv.org:1104.5656
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