Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information-Reference-Cited by-同舟云学术

Robust Optimization with Ambiguous Stochastic Constraints Under Mean and Dispersion Information

Published:2018-06 Issue:3 Volume:66 Page:814-833
ISSN:0030-364X
Container-title:Operations Research
language:en
Short-container-title:Operations Research

Author:

Postek Krzysztof¹^ORCID,Ben-Tal Aharon²,den Hertog Dick³^ORCID,Melenberg Bertrand³

Affiliation:

1. Econometric Institute, Erasmus University Rotterdam, 3062 PA Rotterdam, Netherlands; and Faculty of Industrial Engineering and Management, Technion–Israel Institute of Technology, Haifa 3200003, Israel

2. Faculty of Industrial Engineering and Management, Technion–Israel Institute of Technology, Haifa 3200003, Israel; Shenkar College, Ramat Gan 5252626, Israel; and Tilburg University, 5037 AB Tilburg, Netherlands

3. CentER and Department of Econometrics and Operations Research, Tilburg University, 5037 AB Tilburg, Netherlands

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications

Reference56 articles.

1. Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems

2. Price discovery and common factor models

3. Deriving robust counterparts of nonlinear uncertain inequalities

4. More bounds on the expectation of a convex function of a random variable

5. Approximation of expected returns and optimal decisions under uncertainty using mean and mean absolute deviation

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