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A Novel Weighted Data-Driven Robust Optimization Approach for Creating Adjustable Uncertainty Sets.
Mohsen Roytvand Ghiasvand
Donya Rahmani
Published in:
Comput. Chem. Eng. (2023)
Keyphrases
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robust optimization
data driven
robust counterpart
chance constrained
mathematical programming
stochastic programming
portfolio selection
portfolio optimization
risk measures
lot sizing
decision theory
chance constraints
high dimensional
graphical models
semidefinite programming