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Extending Scope of Robust Optimization: Comprehensive Robust Counterparts of Uncertain Problems.
Aharon Ben-Tal
Stephen P. Boyd
Arkadi Nemirovski
Published in:
Math. Program. (2006)
Keyphrases
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robust optimization
robust counterpart
mathematical programming
chance constrained
stochastic programming
portfolio optimization
lot sizing
semidefinite programming
decision theory
risk measures
chance constraints