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A Robust Optimization Perspective on Stochastic Programming

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  1. Postek, K.S. & den Hertog, D., 2016. "Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set (Revision of CentER Discussion Paper 2014-056)," Other publications TiSEM 08442e3a-d1eb-42b3-8f13-8, Tilburg University, School of Economics and Management.
  2. Ho-Yin Mak & Ying Rong & Zuo-Jun Max Shen, 2013. "Infrastructure Planning for Electric Vehicles with Battery Swapping," Management Science, INFORMS, vol. 59(7), pages 1557-1575, July.
  3. Shahabi, Mehrdad & Unnikrishnan, Avinash, 2014. "Robust hub network design problem," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 70(C), pages 356-373.
  4. Pengyu Qian & Zizhuo Wang & Zaiwen Wen, 2015. "A Composite Risk Measure Framework for Decision Making under Uncertainty," Papers 1501.01126, arXiv.org.
  5. Wenqing Chen & Melvyn Sim & Jie Sun & Chung-Piaw Teo, 2010. "From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization," Operations Research, INFORMS, vol. 58(2), pages 470-485, April.
  6. Zhifeng Dai & Jie Kang, 2022. "Some new efficient mean–variance portfolio selection models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4784-4796, October.
  7. Hamed Mamani & Shima Nassiri & Michael R. Wagner, 2017. "Closed-Form Solutions for Robust Inventory Management," Management Science, INFORMS, vol. 63(5), pages 1625-1643, May.
  8. Dimitris Bertsimas & Shimrit Shtern & Bradley Sturt, 2023. "A Data-Driven Approach to Multistage Stochastic Linear Optimization," Management Science, INFORMS, vol. 69(1), pages 51-74, January.
  9. Vishal Gupta, 2019. "Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(9), pages 4242-4260, September.
  10. Shipra Agrawal & Yichuan Ding & Amin Saberi & Yinyu Ye, 2012. "Price of Correlations in Stochastic Optimization," Operations Research, INFORMS, vol. 60(1), pages 150-162, February.
  11. Lee, Chungmok, 2022. "A robust optimization approach with probe-able uncertainty," European Journal of Operational Research, Elsevier, vol. 296(1), pages 218-239.
  12. Gülpınar, Nalân & Çanakoḡlu, Ethem, 2017. "Robust portfolio selection problem under temperature uncertainty," European Journal of Operational Research, Elsevier, vol. 256(2), pages 500-523.
  13. Zhi Chen & Melvyn Sim & Huan Xu, 2019. "Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," Operations Research, INFORMS, vol. 67(5), pages 1328-1344, September.
  14. Xiaodong Ding & Hezhi Luo & Huixian Wu & Jianzhen Liu, 2021. "An efficient global algorithm for worst-case linear optimization under uncertainties based on nonlinear semidefinite relaxation," Computational Optimization and Applications, Springer, vol. 80(1), pages 89-120, September.
  15. Wiesemann, Wolfram & Kuhn, Daniel & Rustem, Berç, 2010. "Maximizing the net present value of a project under uncertainty," European Journal of Operational Research, Elsevier, vol. 202(2), pages 356-367, April.
  16. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
  17. Yiping Jiang & Yufei Yuan, 2019. "Emergency Logistics in a Large-Scale Disaster Context: Achievements and Challenges," IJERPH, MDPI, vol. 16(5), pages 1-23, March.
  18. Krzysztof Postek & Dick den Hertog, 2016. "Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 553-574, August.
  19. Zhao, Kena & Ng, Tsan Sheng & Tan, Chin Hon & Pang, Chee Khiang, 2021. "An almost robust model for minimizing disruption exposures in supply systems," European Journal of Operational Research, Elsevier, vol. 295(2), pages 547-559.
  20. Evers, L. & Glorie, K.M. & van der Ster, S. & Barros, A.I. & Monsuur, H., 2012. "The Orienteering Problem under Uncertainty Stochastic Programming and Robust Optimization compared," Econometric Institute Research Papers EI 2012-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  21. Erin Baker & Valentina Bosetti & Ahti Salo, 2016. "Finding Common Ground when Experts Disagree: Belief Dominance over Portfolios of Alternatives," Working Papers 2016.46, Fondazione Eni Enrico Mattei.
  22. Jahantab, Mahboubeh & Abbasi, Babak & Le Bodic, Pierre, 2023. "Farmland allocation in the conversion from conventional to organic farming," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1103-1119.
  23. L. Jeff Hong & Zhiyuan Huang & Henry Lam, 2021. "Learning-Based Robust Optimization: Procedures and Statistical Guarantees," Management Science, INFORMS, vol. 67(6), pages 3447-3467, June.
  24. Marques, Inês & Captivo, M. Eugénia, 2017. "Different stakeholders’ perspectives for a surgical case assignment problem: Deterministic and robust approaches," European Journal of Operational Research, Elsevier, vol. 261(1), pages 260-278.
  25. 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.
  26. Xiangyi Fan & Grani A. Hanasusanto, 2024. "A Decision Rule Approach for Two-Stage Data-Driven Distributionally Robust Optimization Problems with Random Recourse," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 526-542, March.
  27. Xin Chen & Melvyn Sim & Peng Sun & Jiawei Zhang, 2008. "A Linear Decision-Based Approximation Approach to Stochastic Programming," Operations Research, INFORMS, vol. 56(2), pages 344-357, April.
  28. Vishal Gupta & Paat Rusmevichientong, 2021. "Small-Data, Large-Scale Linear Optimization with Uncertain Objectives," Management Science, INFORMS, vol. 67(1), pages 220-241, January.
  29. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
  30. Dimitris Bertsimas & Iain Dunning, 2016. "Multistage Robust Mixed-Integer Optimization with Adaptive Partitions," Operations Research, INFORMS, vol. 64(4), pages 980-998, August.
  31. Han, Biao & Shang, Chao & Huang, Dexian, 2021. "Multiple kernel learning-aided robust optimization: Learning algorithm, computational tractability, and usage in multi-stage decision-making," European Journal of Operational Research, Elsevier, vol. 292(3), pages 1004-1018.
  32. Ding, Bingqing & Makowski, Marek & Nahorski, Zbigniew & Ren, Hongtao & Ma, Tieju, 2022. "Optimizing the technology pathway of China's liquid fuel production considering uncertain oil prices: A robust programming model," Energy Economics, Elsevier, vol. 115(C).
  33. Ragavendran Gopalakrishnan & Eric Bax & Krishna Prasad Chitrapura & Sachin Garg, 2015. "Portfolio Allocation for Sellers in Online Advertising," Papers 1506.02020, arXiv.org.
  34. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2009. "Constructing Risk Measures from Uncertainty Sets," Operations Research, INFORMS, vol. 57(5), pages 1129-1141, October.
  35. Su, Xiaoshan & Bai, Manying & Han, Yingwei, 2021. "Robust portfolio selection with regime switching and asymmetric dependence," Economic Modelling, Elsevier, vol. 99(C).
  36. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
  37. Jesper Zwaginga & Benjamin Lagemann & Stein Ove Erikstad & Jeroen Pruyn, 2024. "Optimal Ship Fuel Selection under Life Cycle Uncertainty," Sustainability, MDPI, vol. 16(5), pages 1-18, February.
  38. Liu, Kanglin & Li, Qiaofeng & Zhang, Zhi-Hai, 2019. "Distributionally robust optimization of an emergency medical service station location and sizing problem with joint chance constraints," Transportation Research Part B: Methodological, Elsevier, vol. 119(C), pages 79-101.
  39. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Other publications TiSEM d718e419-a375-4707-b206-e, Tilburg University, School of Economics and Management.
  40. Qing-chun Meng & Xiao-le Wan & Xiao-xia Rong, 2015. "A Robust Ordering Strategy for Retailers Facing a Free Shipping Option," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-14, May.
  41. Hsien-Chung Wu, 2019. "Numerical Method for Solving the Robust Continuous-Time Linear Programming Problems," Mathematics, MDPI, vol. 7(5), pages 1-50, May.
  42. Joel Goh & Melvyn Sim, 2011. "Robust Optimization Made Easy with ROME," Operations Research, INFORMS, vol. 59(4), pages 973-985, August.
  43. David Antunes & Vikrant Vaze & António Pais Antunes, 2019. "A Robust Pairing Model for Airline Crew Scheduling," Transportation Science, INFORMS, vol. 53(6), pages 1751-1771, November.
  44. Seong-Cheol Kang & Theodora Brisimi & Ioannis Paschalidis, 2015. "Distribution-dependent robust linear optimization with applications to inventory control," Annals of Operations Research, Springer, vol. 231(1), pages 229-263, August.
  45. Areesh Mittal & Can Gokalp & Grani A. Hanasusanto, 2020. "Robust Quadratic Programming with Mixed-Integer Uncertainty," INFORMS Journal on Computing, INFORMS, vol. 32(2), pages 201-218, April.
  46. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
  47. Sandra Cruz Caçador & Pedro Manuel Cortesão Godinho & Joana Maria Pina Cabral Matos Dias, 2022. "A minimax regret portfolio model based on the investor’s utility loss," Operational Research, Springer, vol. 22(1), pages 449-484, March.
  48. Takano, Yuichi & Gotoh, Jun-ya, 2023. "Dynamic portfolio selection with linear control policies for coherent risk minimization," Operations Research Perspectives, Elsevier, vol. 10(C).
  49. Javier León & Justo Puerto & Begoña Vitoriano, 2020. "A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
  50. Wolfram Wiesemann & Daniel Kuhn & Berç Rustem, 2012. "Multi-resource allocation in stochastic project scheduling," Annals of Operations Research, Springer, vol. 193(1), pages 193-220, March.
  51. Huan Xu & Constantine Caramanis & Shie Mannor, 2012. "Optimization Under Probabilistic Envelope Constraints," Operations Research, INFORMS, vol. 60(3), pages 682-699, June.
  52. Álvaro Lorca & X. Andy Sun & Eugene Litvinov & Tongxin Zheng, 2016. "Multistage Adaptive Robust Optimization for the Unit Commitment Problem," Operations Research, INFORMS, vol. 64(1), pages 32-51, February.
  53. Liu, Chong & Tang, Jiaze & Zhang, Zhi-Hai, 2024. "Impacts of capacity redundancy and process flexibility on risk mitigation in e-waste recycling supply chain management," Omega, Elsevier, vol. 128(C).
  54. Gah-Yi Ban & Cynthia Rudin, 2019. "The Big Data Newsvendor: Practical Insights from Machine Learning," Operations Research, INFORMS, vol. 67(1), pages 90-108, January.
  55. Postek, K.S. & den Hertog, D., 2014. "Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set," Other publications TiSEM 8649012b-1bb0-4d34-83f1-7, Tilburg University, School of Economics and Management.
  56. Hsien-Chung Wu, 2021. "Robust Solutions for Uncertain Continuous-Time Linear Programming Problems with Time-Dependent Matrices," Mathematics, MDPI, vol. 9(8), pages 1-52, April.
  57. Gülpınar, Nalan & Pachamanova, Dessislava & Çanakoğlu, Ethem, 2013. "Robust strategies for facility location under uncertainty," European Journal of Operational Research, Elsevier, vol. 225(1), pages 21-35.
  58. An, Kun & Lo, Hong K., 2016. "Two-phase stochastic program for transit network design under demand uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 84(C), pages 157-181.
  59. Ling, Aifan & Sun, Jie & Wang, Meihua, 2020. "Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set," European Journal of Operational Research, Elsevier, vol. 285(1), pages 81-95.
  60. Postek, K.S. & den Hertog, D., 2016. "Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set (Revision of CentER Discussion Paper 2014-056)," Discussion Paper 2016-006, Tilburg University, Center for Economic Research.
  61. Yelin Fu & Kin Keung Lai & Liang Liang, 2016. "A robust optimisation approach to the problem of supplier selection and allocation in outsourcing," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(4), pages 913-918, March.
  62. Jia Shu & Miao Song, 2014. "Dynamic Container Deployment: Two-Stage Robust Model, Complexity, and Computational Results," INFORMS Journal on Computing, INFORMS, vol. 26(1), pages 135-149, February.
  63. Long He & Ho-Yin Mak & Ying Rong & Zuo-Jun Max Shen, 2017. "Service Region Design for Urban Electric Vehicle Sharing Systems," Manufacturing & Service Operations Management, INFORMS, vol. 19(2), pages 309-327, May.
  64. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2008. "Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization," Management Science, INFORMS, vol. 54(3), pages 573-585, March.
  65. Elodie Adida & Georgia Perakis, 2010. "Dynamic pricing and inventory control: robust vs. stochastic uncertainty models—a computational study," Annals of Operations Research, Springer, vol. 181(1), pages 125-157, December.
  66. Isaías Gomes & Karol Bot & Maria Graça Ruano & António Ruano, 2022. "Recent Techniques Used in Home Energy Management Systems: A Review," Energies, MDPI, vol. 15(8), pages 1-41, April.
  67. Zhu, Ning & Fu, Chenyi & Zhang, Xuanyi & Ma, Shoufeng, 2022. "A network sensor location problem for link flow observability and estimation," European Journal of Operational Research, Elsevier, vol. 300(2), pages 428-448.
  68. Wenqing Chen & Melvyn Sim, 2009. "Goal-Driven Optimization," Operations Research, INFORMS, vol. 57(2), pages 342-357, April.
  69. Sun, Hao & Yang, Jun & Yang, Chao, 2019. "A robust optimization approach to multi-interval location-inventory and recharging planning for electric vehicles," Omega, Elsevier, vol. 86(C), pages 59-75.
  70. Lu, Mengshi & Nakao, Hideaki & Shen, Siqian & Zhao, Lin, 2021. "Non-profit resource allocation and service scheduling with cross-subsidization and uncertain resource consumptions," Omega, Elsevier, vol. 99(C).
  71. Joel Goh & Melvyn Sim, 2010. "Distributionally Robust Optimization and Its Tractable Approximations," Operations Research, INFORMS, vol. 58(4-part-1), pages 902-917, August.
  72. Dimitris Bertsimas & Melvyn Sim & Meilin Zhang, 2019. "Adaptive Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(2), pages 604-618, February.
  73. Manfren, Massimiliano & Caputo, Paola & Costa, Gaia, 2011. "Paradigm shift in urban energy systems through distributed generation: Methods and models," Applied Energy, Elsevier, vol. 88(4), pages 1032-1048, April.
  74. Fanwen Meng & Jin Qi & Meilin Zhang & James Ang & Singfat Chu & Melvyn Sim, 2015. "A Robust Optimization Model for Managing Elective Admission in a Public Hospital," Operations Research, INFORMS, vol. 63(6), pages 1452-1467, December.
  75. Yang, Lixing & Zhang, Yan & Li, Shukai & Gao, Yuan, 2016. "A two-stage stochastic optimization model for the transfer activity choice in metro networks," Transportation Research Part B: Methodological, Elsevier, vol. 83(C), pages 271-297.
  76. Chuen-Teck See & Melvyn Sim, 2010. "Robust Approximation to Multiperiod Inventory Management," Operations Research, INFORMS, vol. 58(3), pages 583-594, June.
  77. Aharon Ben-Tal & Dimitris Bertsimas & David B. Brown, 2010. "A Soft Robust Model for Optimization Under Ambiguity," Operations Research, INFORMS, vol. 58(4-part-2), pages 1220-1234, August.
  78. Shao-Wei Lam & Tsan Sheng Ng & Melvyn Sim & Jin-Hwa Song, 2013. "Multiple Objectives Satisficing Under Uncertainty," Operations Research, INFORMS, vol. 61(1), pages 214-227, February.
  79. Shixin Wang, 2024. "Semi-Separable Mechanisms in Multi-Item Robust Screening," Papers 2408.13580, arXiv.org.
  80. Silva, Marco & Pedroso, João Pedro & Viana, Ana, 2023. "Stochastic crowd shipping last-mile delivery with correlated marginals and probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 307(1), pages 249-265.
  81. Wolfram Wiesemann & Daniel Kuhn & Berc Rustem, 2009. "Robust Resource Allocations in Temporal Networks," Working Papers 020, COMISEF.
  82. Xide Zhu & Peijun Guo, 2020. "Bilevel programming approaches to production planning for multiple products with short life cycles," 4OR, Springer, vol. 18(2), pages 151-175, June.
  83. Xin Chen & Yuhan Zhang, 2009. "Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts," Operations Research, INFORMS, vol. 57(6), pages 1469-1482, December.
  84. Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
  85. Margarida Carvalho & Xenia Klimentova & Kristiaan Glorie & Ana Viana & Miguel Constantino, 2021. "Robust Models for the Kidney Exchange Problem," INFORMS Journal on Computing, INFORMS, vol. 33(3), pages 861-881, July.
  86. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
  87. 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.
  88. İhsan Yanıkoğlu & Dick den Hertog, 2013. "Safe Approximations of Ambiguous Chance Constraints Using Historical Data," INFORMS Journal on Computing, INFORMS, vol. 25(4), pages 666-681, November.
  89. Li, Ping & Han, Yingwei & Xia, Yong, 2016. "Portfolio optimization using asymmetry robust mean absolute deviation model," Finance Research Letters, Elsevier, vol. 18(C), pages 353-362.
  90. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Discussion Paper 2015-030, Tilburg University, Center for Economic Research.
  91. Marco Silva & João Pedro Pedroso, 2022. "Deep Reinforcement Learning for Crowdshipping Last-Mile Delivery with Endogenous Uncertainty," Mathematics, MDPI, vol. 10(20), pages 1-23, October.
  92. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
  93. Faping Wang & Rui Chen & Lixin Miao & Peng Yang & Bin Ye, 2019. "Location Optimization of Electric Vehicle Mobile Charging Stations Considering Multi-Period Stochastic User Equilibrium," Sustainability, MDPI, vol. 11(20), pages 1-19, October.
  94. Grani A. Hanasusanto & Vladimir Roitch & Daniel Kuhn & Wolfram Wiesemann, 2017. "Ambiguous Joint Chance Constraints Under Mean and Dispersion Information," Operations Research, INFORMS, vol. 65(3), pages 751-767, June.
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