A robust optimization approach for solving two-person games under interval uncertainty.
Arup DeyKais ZamanPublished in: Comput. Oper. Res. (2020)
Keyphrases
- robust optimization
- chance constrained
- mathematical programming
- portfolio selection
- stochastic programming
- risk measures
- portfolio optimization
- robust counterpart
- decision theory
- lot sizing
- semidefinite programming
- game theory
- combinatorial optimization
- decision making
- artificial intelligence
- benchmark problems
- dynamic programming