Two-Stage Robust Optimization Under Decision Dependent Uncertainty.
Yunfan ZhangFeng LiuYifan SuYue ChenZhaojian WangJoão P. S. CatalãoPublished in: IEEE CAA J. Autom. Sinica (2022)
Keyphrases
- robust optimization
- decision theory
- chance constrained
- stochastic programming
- mathematical programming
- portfolio selection
- robust counterpart
- portfolio optimization
- decision making
- risk measures
- lot sizing
- chance constraints
- expected utility
- machine learning
- decision problems
- utility function
- decision makers
- combinatorial optimization
- evolutionary algorithm
- feature space
- minimax regret