-sum and CVaR optimization in MILP.

Carlo Filippi Wlodzimierz Ogryczak M. Grazia Speranza

Published in: Comput. Oper. Res. (2019)

Keyphrases

robust optimization
database
optimization algorithm
global optimization
optimization problems
objective function
linear program
optimization process
mixed integer linear programming
artificial intelligence
portfolio optimization
database systems
special case
constrained optimization
portfolio selection