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A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets

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  • Gorissen, B.L.

    (Tilburg University, School of Economics and Management)

  • Ben-Tal, A.

    (Tilburg University, School of Economics and Management)

  • Blanc, J.P.C.

    (Tilburg University, School of Economics and Management)

  • den Hertog, D.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Gorissen, B.L. & Ben-Tal, A. & Blanc, J.P.C. & den Hertog, D., 2012. "A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets," Other publications TiSEM e4c05682-e13c-4d1a-bc3f-a, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:e4c05682-e13c-4d1a-bc3f-ac98ef3c569b
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    References listed on IDEAS

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    1. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
    2. David J. Thuente, 1980. "Technical Note—Duality Theory for Generalized Linear Programs with Computational Methods," Operations Research, INFORMS, vol. 28(4), pages 1005-1011, August.
    3. Blanc, J.P.C. & den Hertog, D., 2008. "On Markov Chains with Uncertain Data," Discussion Paper 2008-50, Tilburg University, Center for Economic Research.
    4. James E. Falk, 1976. "Technical Note—Exact Solutions of Inexact Linear Programs," Operations Research, INFORMS, vol. 24(4), pages 783-787, August.
    5. Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Management Science, INFORMS, vol. 59(2), pages 341-357, April.
    6. Ben-Tal, A. & den Hertog, D. & De Waegenaere, A.M.B. & Melenberg, B. & Rennen, G., 2011. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Other publications TiSEM 4d43dc51-86d9-4804-8563-9, Tilburg University, School of Economics and Management.
    7. A. L. Soyster, 1974. "Technical Note—A Duality Theory for Convex Programming with Set-Inclusive Constraints," Operations Research, INFORMS, vol. 22(4), pages 892-898, August.
    8. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Other publications TiSEM 130bc0dc-cebe-40dc-8da9-a, Tilburg University, School of Economics and Management.
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    Cited by:

    1. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    2. Postek, K.S. & den Hertog, D., 2014. "Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set," Discussion Paper 2014-056, Tilburg University, Center for Economic Research.

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