Duality in robust optimization: Primal worst equals dual best

Authors:
Amir Beck;Aharon Ben-Tal
Affiliations:
Department of Industrial Engineering and Management, Technion-Israel Institute of Technology, Haifa 32000, Israel;Department of Industrial Engineering and Management, Technion-Israel Institute of Technology, Haifa 32000, Israel
Venue:
Operations Research Letters
Year:
2009

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Abstract

We study the dual problems associated with the robust counterparts of uncertain convex programs. We show that while the primal robust problem corresponds to a decision maker operating under the worst possible data, the dual problem corresponds to a decision maker operating under the best possible data.