Robust optimization for decision-making under endogenous uncertainty.
Nikolaos H. LappasChrysanthos E. GounarisPublished in: Comput. Chem. Eng. (2018)
Keyphrases
- robust optimization
- decision making
- decision theory
- chance constrained
- mathematical programming
- stochastic programming
- decision makers
- portfolio optimization
- robust counterpart
- portfolio selection
- risk measures
- lot sizing
- utility function
- expected utility
- supply chain
- simulated annealing
- model selection
- feature selection