<p>We introduce in this paper the so-called robust generalized <i>S</i>-procedure associated with a given robust optimization problem. We provide a primal characterization for the validity of this procedure as well as a dual characterization under the assumption that the decision space is locally convex. We also analyze an extension of the mentioned robust <i>S</i>-procedure that incorporates a right-hand side function.</p>

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Robust Generalized S-Procedure

  • N. Dinh,
  • M. A. Goberna,
  • D. H. Long,
  • M. Volle

摘要

We introduce in this paper the so-called robust generalized S-procedure associated with a given robust optimization problem. We provide a primal characterization for the validity of this procedure as well as a dual characterization under the assumption that the decision space is locally convex. We also analyze an extension of the mentioned robust S-procedure that incorporates a right-hand side function.