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Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems. (English) Zbl 1134.90042
Summary: In this paper, we propose a new methodology for handling optimization problems with uncertain data. With the usual robust optimization paradigm, one looks for the decisions ensuring a required performance for all realizations of the data from a given bounded uncertainty set, whereas with the proposed approach, we require also a controlled deterioration in performance when the data is outside the uncertainty set. The extension of robust optimization methodology developed in this paper opens up new possibilities to solve efficiently multi-stage finite-horizon uncertain optimization problems, in particular, to analyze and to synthesize linear controllers for discrete time dynamical systems.

90C31Sensitivity, stability, parametric optimization
90C05Linear programming
90C25Convex programming
90C34Semi-infinite programming
93C55Discrete-time control systems
Full Text: DOI
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