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A robust optimization approach with probe-able uncertainty.
Chungmok Lee
Published in:
Eur. J. Oper. Res. (2022)
Keyphrases
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robust optimization
chance constrained
mathematical programming
stochastic programming
portfolio optimization
portfolio selection
robust counterpart
risk measures
semidefinite programming
chance constraints
lot sizing
decision making
special case
linear programming
benchmark problems
decision theory