Robust optimization of the 0-1 knapsack problem: Balancing risk and return in assortment optimization.
Robert P. RooderkerkHarald J. van HeerdePublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- knapsack problem
- robust optimization
- chance constrained
- chance constraints
- portfolio optimization
- risk measures
- optimization problems
- stochastic programming
- optimal solution
- combinatorial optimization problems
- mathematical programming
- dynamic programming
- portfolio selection
- multiple objectives
- exact algorithms
- np hard
- bi objective
- portfolio management
- decision theory
- greedy algorithm
- decision variables
- risk averse
- evolutionary algorithm
- expected utility
- maximum profit
- risk management
- multi objective
- high dimensional