Robust optimization in the presence of uncertainty: A generic approach
We propose a novel approach for optimization under uncertainty. Our approach does not assume any particular noise model behind the measurements, and only requires two typical instances. We first propose a measure of similarity of instances (with respect to a given objective). Based on this measure, we then choose a solution randomly among all solutions that are near-optimum for both instances. The exact notion of near-optimum is intertwined with the proposed similarity measure. Our similarity measure also allows us to...