Robust optimization: Sensitivity to uncertainty in scalar and vector cases, with applications

Giovanni P. Crespi, Daishi Kuroiwa and Matteo Rocca

Operations Research Perspectives, 2018, vol. 5, issue C, 113-119

Abstract: The question we address is how robust solutions react to changes in the uncertainty set. We prove the location of robust solutions with respect to the magnitude of a possible decrease in uncertainty, namely when the uncertainty set shrinks, and convergence of the sequence of robust solutions.

Keywords: Uncertainty modelling; Decision analysis; Multiple objective programming; Set optimization (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:oprepe:v:5:y:2018:i:c:p:113-119

DOI: 10.1016/j.orp.2018.03.001

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