A generalization of a minimax theorem of Fan via a theorem of the alternative
Journal of Optimization Theory and Applications
Minimax theorems for set-valued mappings
Journal of Optimization Theory and Applications
Mathematical Programming: Series A and B
On Extension of Fenchel Duality and its Application
SIAM Journal on Optimization
Constructing Uncertainty Sets for Robust Linear Optimization
Operations Research
Strong Duality in Robust Convex Programming: Complete Characterizations
SIAM Journal on Optimization
Operations Research Letters
Duality in robust optimization: Primal worst equals dual best
Operations Research Letters
Robust linear optimization under general norms
Operations Research Letters
Equivalence of a Ky Fan type minimax theorem and a Gordan type alternative theorem
Operations Research Letters
Minimax theorems for scalar set-valued mappings with nonconvex domains and applications
Journal of Global Optimization
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The celebrated von Neumann minimax theorem is a fundamental theorem in two-person zero-sum games. In this paper, we present a generalization of the von Neumann minimax theorem, called robust von Neumann minimax theorem, in the face of data uncertainty in the payoff matrix via robust optimization approach. We establish that the robust von Neumann minimax theorem is guaranteed for various classes of bounded uncertainties, including the matrix 1-norm uncertainty, the rank-1 uncertainty and the columnwise affine parameter uncertainty.