Den Hertog, Dick; Ben-Tal, A.; Vial, J.P. - Tilburg University, Center for Economic Research - 2012
Abstract: In this paper we provide a systematic way to construct the robust counterpart of a nonlinear uncertain … duality) and conic duality in order to convert the robust counterpart into an explicit and computationally tractable set of … several advantages. First, it provides an easy structured way to construct the robust counterpart both for linear and …