Probabilistic Guarantees in Robust Optimization.

Dimitris Bertsimas Dick den Hertog Jean Pauphilet

Published in: SIAM J. Optim. (2021)

Keyphrases

robust optimization
chance constrained
mathematical programming
decision theory
stochastic programming
portfolio optimization
risk measures
probabilistic model
bayesian networks
chance constraints
lot sizing
linear programming
state space
np hard
evolutionary algorithm
multi agent systems
optimal solution