Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study
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DOI: 10.1007/s10287-015-0243-0
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References listed on IDEAS
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- Andreas Bärmann & Andreas Heidt & Alexander Martin & Sebastian Pokutta & Christoph Thurner, 2017. "Erratum to: Polyhedral approximation of ellipsoidal uncertainty sets via extended formulations: a computational case study," Computational Management Science, Springer, vol. 14(2), pages 293-296, April.
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Keywords
Robust optimization; Approximation; Extended formulations; Second-order cone optimization; Mixed-integer programming; Portfolio optimization;All these keywords.
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