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Constructing Uncertainty Sets for Robust Linear Optimization

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Cited by:

  1. Nilay Noyan & Gábor Rudolf, 2015. "Kusuoka representations of coherent risk measures in general probability spaces," Annals of Operations Research, Springer, vol. 229(1), pages 591-605, June.
  2. Christina Büsing & Sigrid Knust & Xuan Thanh Le, 2018. "Trade-off between robustness and cost for a storage loading problem: rule-based scenario generation," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(4), pages 339-365, December.
  3. 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.
  4. Mahdi Hamzeei & Alvin Lim & Jiefeng Xu, 2022. "Robust price optimization of multiple products under interval uncertainties," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 21(4), pages 442-454, August.
  5. Golpîra, Hêriş & Khan, Syed Abdul Rehman, 2019. "A multi-objective risk-based robust optimization approach to energy management in smart residential buildings under combined demand and supply uncertainty," Energy, Elsevier, vol. 170(C), pages 1113-1129.
  6. Kerem Ugurlu, 2014. "On the Coherent Risk Measure Representations in the Discrete Probability Spaces," Papers 1411.4441, arXiv.org, revised Dec 2014.
  7. Chassein, André & Dokka, Trivikram & Goerigk, Marc, 2019. "Algorithms and uncertainty sets for data-driven robust shortest path problems," European Journal of Operational Research, Elsevier, vol. 274(2), pages 671-686.
  8. Güray Kara & Ayşe Özmen & Gerhard-Wilhelm Weber, 2019. "Stability advances in robust portfolio optimization under parallelepiped uncertainty," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 27(1), pages 241-261, March.
  9. Chassein, André & Goerigk, Marc & Kasperski, Adam & Zieliński, Paweł, 2020. "Approximating combinatorial optimization problems with the ordered weighted averaging criterion," European Journal of Operational Research, Elsevier, vol. 286(3), pages 828-838.
  10. 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.
  11. Daniel Espinoza & Eduardo Moreno, 2014. "A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs," Computational Optimization and Applications, Springer, vol. 59(3), pages 617-638, December.
  12. Baringo, Luis & Boffino, Luigi & Oggioni, Giorgia, 2020. "Robust expansion planning of a distribution system with electric vehicles, storage and renewable units," Applied Energy, Elsevier, vol. 265(C).
  13. 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.
  14. Marla, Lavanya & Rikun, Alexander & Stauffer, Gautier & Pratsini, Eleni, 2020. "Robust modeling and planning: Insights from three industrial applications," Operations Research Perspectives, Elsevier, vol. 7(C).
  15. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
  16. Hêris Golpîra, 2017. "Robust bi-level optimization for an opportunistic supply chain network design problem in an uncertain and risky environment," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(1), pages 21-41.
  17. Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
  18. 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.
  19. Bastian, Nathaniel D. & Lunday, Brian J. & Fisher, Christopher B. & Hall, Andrew O., 2020. "Models and methods for workforce planning under uncertainty: Optimizing U.S. Army cyber branch readiness and manning," Omega, Elsevier, vol. 92(C).
  20. 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.
  21. Jianhui Du & Peng Wu & Yiqing Wang & Dan Yang, 2023. "Multi-stage humanitarian emergency logistics: robust decisions in uncertain environment," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 115(1), pages 899-922, January.
  22. Li, Yi & Shou, Biying, 2021. "Managing supply risk: Robust procurement strategy for capacity improvement," Omega, Elsevier, vol. 102(C).
  23. Jornada, Daniel & Leon, V. Jorge, 2016. "Robustness methodology to aid multiobjective decision making in the electricity generation capacity expansion problem to minimize cost and water withdrawal," Applied Energy, Elsevier, vol. 162(C), pages 1089-1108.
  24. Ana Cabrera-Tobar & Alessandro Massi Pavan & Giovanni Petrone & Giovanni Spagnuolo, 2022. "A Review of the Optimization and Control Techniques in the Presence of Uncertainties for the Energy Management of Microgrids," Energies, MDPI, vol. 15(23), pages 1-38, December.
  25. Juan S. Borrero & Leonardo Lozano, 2021. "Modeling Defender-Attacker Problems as Robust Linear Programs with Mixed-Integer Uncertainty Sets," INFORMS Journal on Computing, INFORMS, vol. 33(4), pages 1570-1589, October.
  26. Berk Wheelock, Lauren & Pachamanova, Dessislava A., 2022. "Acceptable set topic modeling," European Journal of Operational Research, Elsevier, vol. 299(2), pages 653-673.
  27. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
  28. Chassein, André & Goerigk, Marc, 2018. "Compromise solutions for robust combinatorial optimization with variable-sized uncertainty," European Journal of Operational Research, Elsevier, vol. 269(2), pages 544-555.
  29. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
  30. Knoke, Thomas & Paul, Carola & Härtl, Fabian & Castro, Luz Maria & Calvas, Baltazar & Hildebrandt, Patrick, 2015. "Optimizing agricultural land-use portfolios with scarce data—A non-stochastic model," Ecological Economics, Elsevier, vol. 120(C), pages 250-259.
  31. Kawas, Ban & Thiele, Aurélie, 2011. "Short sales in Log-robust portfolio management," European Journal of Operational Research, Elsevier, vol. 215(3), pages 651-661, December.
  32. 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.
  33. Dimitris Bertsimas & Melvyn Sim & Meilin Zhang, 2019. "Adaptive Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(2), pages 604-618, February.
  34. Baak, Werner & Goerigk, Marc & Hartisch, Michael, 2024. "A preference elicitation approach for the ordered weighted averaging criterion using solution choice observations," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1098-1110.
  35. Tereza Sedlářová Nehézová & Michal Škoda & Robert Hlavatý & Helena Brožová, 2022. "Fuzzy and robust approach for decision-making in disaster situations," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 617-645, June.
  36. Chen, Qingxin & Ma, Shoufeng & Li, Hongming & Zhu, Ning & He, Qiao-Chu, 2024. "Optimizing bike rebalancing strategies in free-floating bike-sharing systems: An enhanced distributionally robust approach," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 184(C).
  37. Frauke Liers & Lars Schewe & Johannes Thürauf, 2022. "Radius of Robust Feasibility for Mixed-Integer Problems," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 243-261, January.
  38. Laeven, R.J.A. & Schoenmakers, John G.M. & Schweizer, Nikolaus & Stadje, M.A., 2024. "Robust multiple stopping — A duality approach," Other publications TiSEM 132c6688-3f07-47d8-a4dc-b, Tilburg University, School of Economics and Management.
  39. Mehdi Ansari & Juan S. Borrero & Leonardo Lozano, 2023. "Robust Minimum-Cost Flow Problems Under Multiple Ripple Effect Disruptions," INFORMS Journal on Computing, INFORMS, vol. 35(1), pages 83-103, January.
  40. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
  41. V. Jeyakumar & G. Li, 2013. "Robust solutions of quadratic optimization over single quadratic constraint under interval uncertainty," Journal of Global Optimization, Springer, vol. 55(2), pages 209-226, February.
  42. Pavel Bazovkin & Karl Mosler, 2015. "A general solution for robust linear programs with distortion risk constraints," Annals of Operations Research, Springer, vol. 229(1), pages 103-120, June.
  43. Metzker Soares, Paula & Thevenin, Simon & Adulyasak, Yossiri & Dolgui, Alexandre, 2024. "Adaptive robust optimization for lot-sizing under yield uncertainty," European Journal of Operational Research, Elsevier, vol. 313(2), pages 513-526.
  44. Seulgi Joung & Seyoung Oh & Kyungsik Lee, 2023. "Comparative analysis of linear programming relaxations for the robust knapsack problem," Annals of Operations Research, Springer, vol. 323(1), pages 65-78, April.
  45. Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics 4/11, University of Cologne, Institute of Econometrics and Statistics.
  46. Karthik Natarajan & Dessislava Pachamanova & Melvyn Sim, 2009. "Constructing Risk Measures from Uncertainty Sets," Operations Research, INFORMS, vol. 57(5), pages 1129-1141, October.
  47. Huan Xu & Constantine Caramanis & Shie Mannor, 2016. "Statistical Optimization in High Dimensions," Operations Research, INFORMS, vol. 64(4), pages 958-979, August.
  48. Huan Xu & Constantine Caramanis & Shie Mannor, 2012. "Optimization Under Probabilistic Envelope Constraints," Operations Research, INFORMS, vol. 60(3), pages 682-699, June.
  49. Ang, James & Meng, Fanwen & Sun, Jie, 2014. "Two-stage stochastic linear programs with incomplete information on uncertainty," European Journal of Operational Research, Elsevier, vol. 233(1), pages 16-22.
  50. Benati, S. & Conde, E., 2022. "A relative robust approach on expected returns with bounded CVaR for portfolio selection," European Journal of Operational Research, Elsevier, vol. 296(1), pages 332-352.
  51. Chassein, André & Goerigk, Marc, 2018. "Variable-sized uncertainty and inverse problems in robust optimization," European Journal of Operational Research, Elsevier, vol. 264(1), pages 17-28.
  52. Jornada, Daniel & Leon, V. Jorge, 2016. "Biobjective robust optimization over the efficient set for Pareto set reduction," European Journal of Operational Research, Elsevier, vol. 252(2), pages 573-586.
  53. Louis Anthony (Tony) Cox, 2012. "Confronting Deep Uncertainties in Risk Analysis," Risk Analysis, John Wiley & Sons, vol. 32(10), pages 1607-1629, October.
  54. Andrew J. Keith & Darryl K. Ahner, 2021. "A survey of decision making and optimization under uncertainty," Annals of Operations Research, Springer, vol. 300(2), pages 319-353, May.
  55. Claire Nicolas & Stéphane Tchung-Ming & Emmanuel Hache, 2016. "Energy transition in transportation under cost uncertainty, an assessment based on robust optimization," Working Papers hal-02475943, HAL.
  56. Soyster, A.L. & Murphy, F.H., 2017. "Data driven matrix uncertainty for robust linear programming," Omega, Elsevier, vol. 70(C), pages 43-57.
  57. Biefel, Christian & Liers, Frauke & Rolfes, Jan & Schewe, Lars & Zöttl, Gregor, 2022. "Robust market equilibria under uncertain cost," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1230-1241.
  58. Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
  59. Wolfram Wiesemann & Daniel Kuhn & Melvyn Sim, 2014. "Distributionally Robust Convex Optimization," Operations Research, INFORMS, vol. 62(6), pages 1358-1376, December.
  60. Guoyin Li & Alfred Ma & Ting Pong, 2014. "Robust least square semidefinite programming with applications," Computational Optimization and Applications, Springer, vol. 58(2), pages 347-379, June.
  61. Alexandros Nikas & Angelos Fountoulakis & Aikaterini Forouli & Haris Doukas, 2022. "A robust augmented ε-constraint method (AUGMECON-R) for finding exact solutions of multi-objective linear programming problems," Operational Research, Springer, vol. 22(2), pages 1291-1332, April.
  62. Sarah Bensalem, 2020. "Self-insurance and Non-concave Distortion Risk Measures," Working Papers hal-02936349, HAL.
  63. Bomze, Immanuel M. & Gabl, Markus, 2023. "Optimization under uncertainty and risk: Quadratic and copositive approaches," European Journal of Operational Research, Elsevier, vol. 310(2), pages 449-476.
  64. 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.
  65. Pengyu Qian & Zizhuo Wang & Zaiwen Wen, 2015. "A Composite Risk Measure Framework for Decision Making under Uncertainty," Papers 1501.01126, arXiv.org.
  66. Lijun Xu & Yijia Zhou & Bo Yu, 2020. "Robust Optimization Model with Shared Uncertain Parameters in Multi-Stage Logistics Production and Inventory Process," Mathematics, MDPI, vol. 8(2), pages 1-12, February.
  67. Bazovkin, Pavel & Mosler, Karl, 2011. "Stochastic linear programming with a distortion risk constraint," Discussion Papers in Econometrics and Statistics 6/11, University of Cologne, Institute of Econometrics and Statistics.
  68. Selim Mankai & Khaled Guesmi, 2014. "Robust Portfolio Protection: A Scenarios-Based Approach," Working Papers hal-04141326, HAL.
  69. Algo Carè & Simone Garatti & Marco C. Campi, 2014. "FAST---Fast Algorithm for the Scenario Technique," Operations Research, INFORMS, vol. 62(3), pages 662-671, June.
  70. Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
  71. Ruiz, C. & Conejo, A.J., 2015. "Robust transmission expansion planning," European Journal of Operational Research, Elsevier, vol. 242(2), pages 390-401.
  72. Dimitris Bertsimas & Vishal Gupta & Ioannis Ch. Paschalidis, 2012. "Inverse Optimization: A New Perspective on the Black-Litterman Model," Operations Research, INFORMS, vol. 60(6), pages 1389-1403, December.
  73. 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.
  74. Daphné Lorne & Stéphane Tchung-Ming, 2012. "The French biofuels mandates under cost uncertainty - an assesment based on robust optimization," Working Papers hal-03206367, HAL.
  75. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Other publications TiSEM eeb9c898-6943-4199-b747-3, Tilburg University, School of Economics and Management.
  76. Yu, Pengfei & Gao, Ruotian & Xing, Wenxun, 2021. "Maximizing perturbation radii for robust convex quadratically constrained quadratic programs," European Journal of Operational Research, Elsevier, vol. 293(1), pages 50-64.
  77. Marcus Ang & Jie Sun & Qiang Yao, 2018. "On the dual representation of coherent risk measures," Annals of Operations Research, Springer, vol. 262(1), pages 29-46, March.
  78. T. D. Chuong & V. Jeyakumar, 2017. "An Exact Formula for Radius of Robust Feasibility of Uncertain Linear Programs," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 203-226, April.
  79. Goberna, M.A. & Jeyakumar, V. & Li, G. & Vicente-Pérez, J., 2022. "The radius of robust feasibility of uncertain mathematical programs: A Survey and recent developments," European Journal of Operational Research, Elsevier, vol. 296(3), pages 749-763.
  80. Benoît Loger & Alexandre Dolgui & Fabien Lehuédé & Guillaume Massonnet, 2024. "Approximate Kernel Learning Uncertainty Set for Robust Combinatorial Optimization," INFORMS Journal on Computing, INFORMS, vol. 36(3), pages 900-917, May.
  81. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
  82. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
  83. Lagos, Guido & Espinoza, Daniel & Moreno, Eduardo & Vielma, Juan Pablo, 2015. "Restricted risk measures and robust optimization," European Journal of Operational Research, Elsevier, vol. 241(3), pages 771-782.
  84. Gorissen, Bram L. & Yanıkoğlu, İhsan & den Hertog, Dick, 2015. "A practical guide to robust optimization," Omega, Elsevier, vol. 53(C), pages 124-137.
  85. Dimitris Bertsimas & Akiko Takeda, 2015. "Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach," Computational Optimization and Applications, Springer, vol. 62(3), pages 613-639, December.
  86. Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
  87. Claudio Arbib & Fabrizio Marinelli & Mustafa Ç. Pınar & Andrea Pizzuti, 2022. "Robust stock assortment and cutting under defects in automotive glass production," Production and Operations Management, Production and Operations Management Society, vol. 31(11), pages 4154-4172, November.
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