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Strong duality and dual attainment hold because the primal is a concave quadratic maximization over a nonempty bounded polyhedron

For fixedp i, maximizing overz∈R d gives sup z∈Rd Li(z,p i) =−b ⊤pi + 1 2aγ ∥ci +A ⊤pi∥2 2, where the supremum is attained atz= 1 aγ (ci +A ⊤pi) · 2004

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Integrated Learning and Robust Optimization

math.OC · 2026-08-09 · conditional · novelty 7.0

A new framework, ILRO, trains cost predictors through a robust linear program, with a convex surrogate and consistency and convergence guarantees under stated conditions.

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  • Integrated Learning and Robust Optimization math.OC · 2026-08-09 · conditional · none · ref 8

    A new framework, ILRO, trains cost predictors through a robust linear program, with a convex surrogate and consistency and convergence guarantees under stated conditions.