Uncertainty reduction in robust optimization.
Ayse N. ArslanMichael PossPublished in: Oper. Res. Lett. (2024)
Keyphrases
- robust optimization
- chance constrained
- stochastic programming
- portfolio selection
- mathematical programming
- robust counterpart
- portfolio optimization
- risk measures
- decision theory
- chance constraints
- lot sizing
- artificial intelligence
- semidefinite programming
- machine learning
- linear programming
- bayesian networks
- linear program
- computational complexity
- cooperative