Two-stage robust optimization, state-space representable uncertainty and applications.
Michel MinouxPublished in: RAIRO Oper. Res. (2014)
Keyphrases
- robust optimization
- state space
- chance constrained
- portfolio optimization
- mathematical programming
- heuristic search
- stochastic programming
- robust counterpart
- risk measures
- portfolio selection
- reinforcement learning
- decision theory
- optimal policy
- markov decision processes
- dynamic programming
- semidefinite programming
- search space
- chance constraints
- lot sizing
- probability distribution
- computational complexity