Abstract
We show that for even quasi-concave objective functions the worst-case distribution, with respect to a family of unimodal distributions, of a stochastic programming problem is a uniform distribution. This extends the so-called ``Uniformity Principle'' of Barmish and Lagoa (1997) where the objective function is the indicator function of a convex symmetric set.
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Shapiro, A. Worst-case distribution analysis of stochastic programs. Math. Program. 107, 91–96 (2006). https://doi.org/10.1007/s10107-005-0680-6
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DOI: https://doi.org/10.1007/s10107-005-0680-6