Conformal uncertainty sets for robust optimization.
Chancellor JohnstoneBruce CoxPublished in: COPA (2021)
Keyphrases
- robust optimization
- chance constrained
- mathematical programming
- risk measures
- robust counterpart
- stochastic programming
- portfolio optimization
- portfolio selection
- decision theory
- lot sizing
- semidefinite programming
- chance constraints
- search algorithm
- linear programming
- probability distribution
- theoretical framework