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A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides.
Guanglin Xu
Samuel Burer
Published in:
Comput. Optim. Appl. (2018)
Keyphrases
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robust optimization
robust counterpart
chance constrained
mathematical programming
portfolio optimization
stochastic programming
lot sizing
risk measures
decision theory
semidefinite programming
special case