Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach.
Dimitris BertsimasAkiko TakedaPublished in: Comput. Optim. Appl. (2015)
Keyphrases
- mixed integer
- risk measures
- robust optimization
- lot sizing
- linear program
- quadratic program
- portfolio optimization
- convex hull
- optimization algorithm
- feasible solution
- multistage
- mathematical programming
- continuous variables
- optimization problems
- portfolio selection
- stochastic programming
- genetic algorithm
- risk averse
- dynamic systems
- np hard