Den Hertog, Dick; Ben-Tal, A.; Vial, J.P. - Tilburg University, Center for Economic Research - 2012
Abstract: In this paper we provide a systematic way to construct the robust counterpart of a nonlinear uncertain inequality that is concave in the uncertain parameters. We use convex analysis (support functions, conjugate functions, Fenchel duality) and conic duality in order to convert the...