A general solution for robust linear programs with distortion risk constraints.
Pavel BazovkinKarl MoslerPublished in: Ann. Oper. Res. (2015)
Keyphrases
- linear program
- mixed integer
- integer program
- linear programming problems
- efficient frontier
- linear programming
- mixed integer program
- optimal solution
- semi infinite
- stochastic programming
- multistage stochastic
- mixed integer linear program
- lagrange multipliers
- simplex method
- convex functions
- lp relaxation
- column generation
- linear inequalities
- interior point methods
- dynamic programming
- nelder mead
- special case
- primal dual
- integer programming
- extreme points
- objective function
- np hard
- cutting plane
- constraint programming
- multistage
- quadratic program
- optimality conditions
- market equilibrium
- shortest path
- multiple objectives
- decision variables