Likelihood robust optimization for data-driven problems.

Zizhuo Wang Peter W. Glynn Yinyu Ye

Published in: Comput. Manag. Sci. (2016)

Keyphrases

robust optimization
data driven
chance constrained
mathematical programming
stochastic programming
portfolio optimization
cooperative
search algorithm
theoretical framework
benchmark problems
semidefinite programming
objective function
simulated annealing
optimization problems
combinatorial optimization