LP-Based Approximations for Disjoint Bilinear and Two-Stage Adjustable Robust Optimization.
Omar El HousniAyoub FoussoulVineet GoyalPublished in: IPCO (2022)
Keyphrases
- robust counterpart
- robust optimization
- linear program
- stochastic programming
- linear programming
- mathematical programming
- chance constrained
- optimal solution
- risk measures
- objective function
- dynamic programming
- semidefinite programming
- pairwise
- portfolio optimization
- primal dual
- np hard
- singular value decomposition
- lot sizing
- computationally tractable
- cooperative
- graphical models
- chance constraints