Adjustable robust optimization with objective uncertainty.

Boris Detienne Henri Lefebvre Enrico Malaguti Michele Monaci

Published in: Eur. J. Oper. Res. (2024)

Keyphrases

robust optimization
robust counterpart
chance constrained
mathematical programming
stochastic programming
portfolio selection
portfolio optimization
risk measures
lot sizing
decision theory
multistage
semidefinite programming
chance constraints
machine learning