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Developing a multi-period robust optimization model considering American style options.

Saeed MarzbanMasoud MahootchiAlireza Arshadi Khamseh
Published in: Ann. Oper. Res. (2015)
Keyphrases
  • robust optimization
  • probabilistic model
  • training data
  • multi period
  • lower bound
  • special case
  • probability distribution
  • input output
  • facility location problem