Robust Optimization for Non-Convex Objectives.

Robert S. Chen Brendan Lucier Yaron Singer Vasilis Syrgkanis

Published in: CoRR (2017)

Keyphrases

robust optimization
chance constrained
mathematical programming
portfolio optimization
stochastic programming
convex optimization
multiple objectives
lot sizing
risk measures
convex hull
semidefinite programming
search space
chance constraints
decision theory