Abstract
In this paper, we introduce the weighted robust counterpart of convex optimization problem with data uncertainty both in the objective and constraints. Then, optimal solutions of the weighted robust optimization problem are weakly Pareto optimal solutions of an unconstrained multicriteria optimization problem, and these solutions are Pareto optimal solutions under the uniqueness assumption. We also prove that the intersection of the optimal solution set of the weighted robust optimization problem and the Pareto optimal solution set of the unconstrained multicriteria optimization problem is nonempty. Finally, optimality conditions of the weighted robust optimal solution for the uncertain convex optimization problem are also obtained under some suitable assumptions.
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Acknowledgements
The authors are grateful to the anonymous referees and the associated editor for their constructive comments and valuable suggestions, which have helped to improve the paper. This paper was partially supported by the Natural Science Foundation of China (Nos. 11401487,11771058,11571055), the Basic and Advanced ResearchProject of Chongqing (cstc2016jcyjA0239) and the Fundamental Research Funds for the Central Universities.
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Huang, L., Chen, J. Weighted robust optimality of convex optimization problems with data uncertainty. Optim Lett 14, 1089–1105 (2020). https://doi.org/10.1007/s11590-019-01406-z
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DOI: https://doi.org/10.1007/s11590-019-01406-z