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Duality in robust optimization: Primal worst equals dual best. (English) Zbl 1154.90614
Summary: We study the dual problems associated with the robust counterparts of uncertain convex programs. We show that while the primal robust problem corresponds to a decision maker operating under the worst possible data, the dual problem corresponds to a decision maker operating under the \(best\) possible data.

90C46 Optimality conditions and duality in mathematical programming
90C25 Convex programming
Full Text: DOI
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