Theory and Applications of Robust Optimization

Summary

This paper surveys the primary research, both theoretical and applied, in the area of robust optimization (RO), focusing on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology.

Keywords

Attractiveness, Robust optimization, Broad spectrum, Mathematical optimization, Management science

References

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Classical-Equivalent Bayesian Portfolio Optimization for Electricity Generation PlanningHellinton H. Takada, Julio Michael Stern, O.L.V. Costa — 2018
Sequential Optimization in Changing Environments: Theory and Application to Online Content Recommendation ServicesYonatan Gur — 2014
Restauration d'images dégradées par un bruit Poisson-Gauss. (Image restoration in the presence of Poisson-Gaussian noise)Anna Jezierska — 2013
Unit Commitment: Computational Performance, System Representation and Wind Uncertainty ManagementMorales Espana, G.A. — 2014
Analyzing the solution of a linear program: the effect of normal distributions in costs and constraintsMarijn van der Velde — 2013
A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty SetsBram L. Gorissen, Aharon Ben‐Tal, J.P.C. Blanc — 2012
Robust Optimization in Operational Risk: A Study of the Joint Platform Allocation ToolJesse Nesbitt — 2014
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Examining the business case of voluntary emissions reductions: a robust optimisation approachJohn Symons — 2013
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