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A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides.

Guanglin XuSamuel Burer
Published in: Comput. Optim. Appl. (2018)
Keyphrases
  • robust optimization
  • robust counterpart
  • chance constrained
  • mathematical programming
  • portfolio optimization
  • stochastic programming
  • lot sizing
  • risk measures
  • decision theory
  • semidefinite programming
  • special case