Lecture
Robust Optimization: Polynomial Approximation & Uncertainty Sets
Description
This lecture by the instructor covers robust optimization, focusing on polynomial approximation and uncertainty sets. It discusses the robust counterpart of uncertain optimization problems, sources of uncertainty, uncertainty sets, and robust linear programs. The lecture also explains the robust optimization trick for polyhedral and ellipsoidal uncertainty sets, providing insights into how to address the robust counterpart using standard solvers.
Official source
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