LP-based approximations for disjoint bilinear and two-stage adjustable robust optimization.
Omar El HousniAyoub FoussoulVineet GoyalPublished in: Math. Program. (2024)
Keyphrases
- robust optimization
- robust counterpart
- linear program
- stochastic programming
- linear programming
- mathematical programming
- chance constrained
- portfolio optimization
- semidefinite programming
- optimal solution
- chance constraints
- computationally tractable
- decision theory
- primal dual
- risk measures
- np hard
- pairwise
- singular value decomposition
- objective function
- artificial intelligence
- multistage
- machine learning
- support vector