When are static and adjustable robust optimization problems with constraint-wise uncertainty equivalent?
Ahmadreza MarandiDick den HertogPublished in: Math. Program. (2018)
Keyphrases
- robust optimization
- robust counterpart
- mathematical programming
- chance constrained
- chance constraints
- stochastic programming
- portfolio optimization
- risk measures
- lot sizing
- decision theory
- portfolio selection
- decision problems
- lower bound
- objective function
- combinatorial optimization
- graphical models
- state space
- evolutionary algorithm