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math.OC2021
A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle
Jianzhe Zhen, Daniel Kuhn, Wolfram Wiesemann
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertain…
math.OC2020
Improving Tractability of Real-Time Control Schemes via Simplified -Lemma
Goran Banjac, Jianzhe Zhen, Dick den Hertog +1
Various control schemes rely on a solution of a convex optimization problem involving a particular robust quadratic constraint, which can be reformulated as a linear matrix inequal…