# Robust Optimization for average case analysis

 2 1 My understanding is that robust optimization finds the optimal solution for the worst case scenario. I am working on a problem for which I need to find an average-case optimal solution. In other words, say (p) is a parameter where (a

 3 I understand your "robust optimization finds the optimal solution for the worst case scenario" as: classical roubst optimization is too conservative as it hedges against all scenarios and thus against all possible disruptions. Right. There are at least two conceptual alternatives: (1) gamma robustness and (2) recoverable robustness. The first restricts the worst case to some "smaller" number of disruptions, the second allows for some "repair" of the solution, once the scenario becomes known. answered 27 Jan '12, 09:22 Marco Luebbecke ♦ 3.4k●1●6●15 accept rate: 16% Thanks @Marco. These two problems are definitely less conservative than robust optimization, but they're still not an average-case optimization. Please see my clarifying comment. (27 Jan '12, 10:10) sina
 toggle preview community wiki

By Email:

Markdown Basics

• *italic* or _italic_
• **bold** or __bold__
• image?![alt text](/path/img.jpg "Title")
• numbered list: 1. Foo 2. Bar
• to add a line break simply add two spaces to where you would like the new line to be.
• basic HTML tags are also supported

Tags: