ROC++: Robust Optimization in C++.

Phebe Vayanos Qing Jin George Elissaios

Published in: INFORMS J. Comput. (2022)

Keyphrases

robust optimization
chance constrained
mathematical programming
stochastic programming
portfolio optimization
roc curve
risk measures
machine learning
lot sizing
decision theory
semidefinite programming
learning algorithm
scheduling problem
chance constraints