Convex Maximization via Adjustable Robust Optimization.
Aras SelviAharon Ben-TalRuud BrekelmansDick den HertogPublished in: INFORMS J. Comput. (2022)
Keyphrases
- robust optimization
- robust counterpart
- linear program
- chance constrained
- mathematical programming
- portfolio optimization
- stochastic programming
- convex optimization
- risk measures
- semidefinite programming
- linear programming
- objective function
- decision theory
- lot sizing
- chance constraints
- decision makers
- optimization problems
- special case
- decision making