Robust optimization
= Robust optimization
Robust optimization chooses a decision while accounting for every parameter in a prescribed uncertainty set. A worst-case maximization takes the form $\sup_x\inf_{r\in\mathcal U}F(x,r)$ with the decision chosen before the uncertain parameter. With affine dependence on the uncertainty, the <support function> and <linear programming duality> often replace the inner optimization by explicit constraints.