On using cardinality constrained uncertainty for objective coefficients in robust optimization.

Jaeyoong Lim Sungsoo Park

Published in: Optim. Lett. (2021)

Keyphrases

robust optimization
chance constrained
mathematical programming
stochastic programming
robust counterpart
portfolio optimization
portfolio selection
risk measures
decision theory
linear combination
lot sizing
support vector
semidefinite programming
scheduling problem
chance constraints