maximin

Robust optimization solver for problems of the form:

maximize_c  minimize_{beta}  g(c; beta)
subject to  beta in S
            c in C

where c is a decision variable, beta is an uncertain parameter known only to lie within some uncertainty set S, and C is the feasible set for decisions.

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Avatar for rwilson4 from gravatar.com rwilson4

Credits

Author: Bob Wilson

License

Apache Software License (Apache License)

Requires

Python <4, >=3.11

Tags

maximin optimization robust uncertainty

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