A Unifying Approach to Robust Convex Infinite Optimization Duality

This paper considers an uncertain convex optimization problem, posed in a locally convex decision space with an arbitrary number of uncertain constraints. To this problem, where the uncertainty only affects the constraints, we associate a robust (pessimistic) counterpart and several dual problems. The paper provides corresponding dual variational principles for the robust counterpart in terms of the closed convexity of different associated cones.

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