Explicit Reformulations for Robust Optimization Problems with General Uncertainty Sets.

Igor Averbakh Yun-Bin Zhao

Published in: SIAM J. Optim. (2008)

Keyphrases

robust optimization
mathematical programming
chance constrained
stochastic programming
portfolio selection
special case
portfolio optimization
lot sizing
semidefinite programming
optimization problems
decision theory
robust counterpart
evolutionary algorithm
scheduling problem
utility function