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» Tractable Approximations to Robust Conic Optimization Proble...

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MP
2006

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Tractable Approximations to Robust Conic Optimization Problems

13 years 4 months ago

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Dimitris Bertsimas, Melvyn Sim

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SIAMJO
2002

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Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems

13 years 4 months ago

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We consider a conic-quadratic (and in particular a quadratically constrained) optimization problem with uncertain data, known only to reside in some uncertainty set U. The robust ...

Aharon Ben-Tal, Arkadi Nemirovski, Cees Roos

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MP
2002

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Robust optimization - methodology and applications

13 years 4 months ago

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Abstract. Robust Optimization (RO) is a modeling methodology, combined with computational tools, to process optimization problems in which the data are uncertain and is only known ...

Aharon Ben-Tal, Arkadi Nemirovski

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EOR
2008

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Robust portfolio selection based on a multi-stage scenario tree

13 years 4 months ago

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The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...

Ruijun Shen, Shuzhong Zhang

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IOR
2010

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Distributionally Robust Optimization and Its Tractable Approximations

13 years 3 months ago

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