Surrogate duality for robust optimization.

Satoshi Suzuki Daishi Kuroiwa Gue Myung Lee

Published in: Eur. J. Oper. Res. (2013)

Keyphrases

robust optimization
chance constrained
mathematical programming
linear programming
stochastic programming
portfolio optimization
lot sizing
semidefinite programming
decision theory
computational complexity
risk measures
search space
model selection
linear program