Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management.
Hongfan (kevin) ChenXu Andy SunHaoxiang YangPublished in: SIAM J. Optim. (2023)
Keyphrases
- robust optimization
- inventory management
- decision theory
- chance constrained
- decision making
- stochastic programming
- mathematical programming
- portfolio selection
- portfolio optimization
- robust counterpart
- decision makers
- semidefinite programming
- risk measures
- expected utility
- lot sizing
- decision problems
- chance constraints
- decision theoretic
- influence diagrams
- data mining
- utility function
- artificial intelligence
- machine learning