Nonconcave robust optimization with discrete strategies under Knightian uncertainty.
Ariel NeufeldMario SikicPublished in: Math. Methods Oper. Res. (2019)
Keyphrases
- robust optimization
- chance constrained
- mathematical programming
- portfolio optimization
- stochastic programming
- robust counterpart
- portfolio selection
- semidefinite programming
- risk measures
- lot sizing
- machine learning
- knapsack problem
- probability distribution
- search space
- search algorithm
- bayesian networks
- chance constraints
- artificial intelligence