Two-Stage robust optimization problems with two-stage uncertainty.

Marc Goerigk Stefan Lendl Lasse Wulf

Published in: Eur. J. Oper. Res. (2022)

Keyphrases

robust optimization
mathematical programming
chance constrained
portfolio optimization
stochastic programming
risk measures
portfolio selection
decision theory
machine learning
feature selection
case based reasoning
linear programming
benchmark problems
semidefinite programming