Optimal scenario reduction for one- and two-stage robust optimization with discrete uncertainty in the objective.
Marc GoerigkMohammad KhosraviPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- robust optimization
- chance constrained
- mathematical programming
- stochastic programming
- risk measures
- robust counterpart
- portfolio selection
- portfolio optimization
- dynamic programming
- chance constraints
- decision theory
- semidefinite programming
- minimax regret
- worst case
- probability distribution
- multi agent systems
- optimal solution