= Polyhedral uncertainty set
{title2=$\mathcal U=\{r:\|P(r-r_0)\|_\infty\le1\}$}
A polyhedral uncertainty set is specified by finitely many linear inequalities. The displayed centered example is the inverse image of a box under a linear map. It is nonempty because it contains $r_0$, and contains every line $r_0+td$ with $d\in\ker P$. Consequently it need not be bounded when $P$ is rank deficient. Its <supremum norm> constraint is equivalent to $-\mathbf1\le P(r-r_0)\le\mathbf1$.
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