Pareto Efficiency in Robust Optimization

Robust optimization protects you against the worst case — but in doing so it often leaves performance on the table when the worst case does not materialize. Two decisions can be identical under the worst case while one is better in every other scenario. We show how to find the robust decisions that are not dominated this way, at essentially no additional cost.

Management Science, vol. 60, no. 1, pp. 130–147