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math.OC2024
A Frank-Wolfe Algorithm for Oracle-based Robust Optimization
Mathieu Besançon, Jannis Kurtz
We tackle robust optimization problems under objective uncertainty in the oracle model, i.e., when the deterministic problem is solved by an oracle. The oracle-based setup is favor…
math.OC2024
Bounding the Optimal Number of Policies for Robust K-Adaptability
Jannis Kurtz
In the realm of robust optimization the k-adaptability approach is one promising method to derive approximate solutions for two-stage robust optimization problems. Instead of allow…