Primal and dual linear decision rules in stochastic and robust optimization.
Daniel KuhnWolfram WiesemannAngelos GeorghiouPublished in: Math. Program. (2011)
Keyphrases
- decision rules
- robust optimization
- chance constraints
- chance constrained
- stochastic programming
- stochastic optimization
- primal dual
- rough sets
- mathematical programming
- linear programming
- dual formulation
- linear program
- decision trees
- semidefinite programming
- decision table
- rough set theory
- risk measures
- lot sizing
- multistage
- support vector
- convergence rate
- dual variables
- convex optimization
- decision theory
- lower bound
- knapsack problem