Decomposition for adjustable robust linear optimization subject to uncertainty polytope.
Josette AyoubMichael PossPublished in: Comput. Manag. Sci. (2016)
Keyphrases
- robust optimization
- robust counterpart
- semidefinite
- optimization algorithm
- mathematical programming
- chance constraints
- optimization problems
- optimization process
- semidefinite programming
- quadratic programming
- decision theory
- minimize a cost function
- stochastic programming
- computationally efficient
- neural network
- conditional probabilities
- convex relaxation
- closed form
- simultaneous optimization
- cost function
- multi objective
- evolutionary algorithm