Worst value and robust value for general optimization problem under uncertainty data

In this paper we consider general form of a optimization problem in face of data uncertainty. We determine a necessary and sufficient condition ensuring the equality between the worst value and the robust value of this uncertain problem with attainment of the worst value. And we deduce robust strong duality and robust stable strong duality property. Keywords: Uncertain optimization problem; Robust counterpart; Robust value; Worst value; Robust strong duality. Mathematics Subject Classification: 90C17, 90C31, 90C46

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Publication Details

Journal
Sciences des Structures et de la Matiere
Published
2024-12-18
DOI
https://doi.org/10.70974/mat08224024
Primary Topic
Risk and Portfolio Optimization
Type
article
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article

Worst value and robust value for general optimization problem under uncertainty data

Moussa Barro, Sado Traoré, Ali Ouédraogo
Sciences des Structures et de la Matiere
Risk and Portfolio Optimization
article

Worst value and robust value for general optimization problem under uncertainty data

Moussa Barro, Sado Traoré, Ali Ouédraogo
article en

Abstract

In this paper we consider general form of a optimization problem in face of data uncertainty. We determine a necessary and sufficient condition ensuring the equality between the worst value and the robust value of this uncertain problem with attainment of the worst value. And we deduce robust strong duality and robust stable strong duality property. Keywords: Uncertain optimization problem; Robust counterpart; Robust value; Worst value; Robust strong duality. Mathematics Subject Classification: 90C17, 90C31, 90C46

Sciences des Structures et de la MatiereVol. 8(2)
Openalex Percentile: Top 71%
Risk and Portfolio Optimization
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Worst value and robust value for general optimization problem under uncertainty data — Moussa Barro, Sado Traoré, et al. · Sciences des Structures et de la Matiere (2024) | TGRS Research Map | TGRS