Primal worst and dual best in robust vector optimization

Elisa Caprari, Lorenzo Cerboni Baiardi and Elena Molho

European Journal of Operational Research, 2019, vol. 275, issue 3, 830-838

Abstract: We establish a relationship between the robust counterpart of an uncertain cone-convex vector problem and the optimistic counterpart of its uncertain dual. Along the line marked by Beck and Ben-Tal (2009) in the scalar case, we show that operating in the primal problem with a pessimistic view is equivalent to operating with an optimistic approach in its dual.

Keywords: Multiple objective programming; Vector optimization problems; Lagrangian duality; Robust optimization (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:275:y:2019:i:3:p:830-838

DOI: 10.1016/j.ejor.2019.01.003

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