Keyword: robust optimization

Found 22 papers in total
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
2015,
In this paper, we develop a distributionally robust portfolio optimization model where...
Distributionally Robust Optimization of Two-Stage Lot-Sizing Problems
Distributionally Robust Optimization of Two-Stage Lot-Sizing Problems
2016,
This paper studies two‐stage lot‐sizing problems with uncertain demand,...
An Analytical Robust Design Optimization Methodology Based on Axiomatic Design Principles
An Analytical Robust Design Optimization Methodology Based on Axiomatic Design Principles
2014,
Robust design (RD) is an important method because it can reduce the variation of...
Potential optimality and robust optimality in multiattribute decision analysis with incomplete information: A comparative study
Potential optimality and robust optimality in multiattribute decision analysis with incomplete information: A comparative study
2013,
The traditional approach for multiple attribute decision analysis with incomplete...
Robust design optimization by polynomial dimensional decomposition
Robust design optimization by polynomial dimensional decomposition
2013,
This paper introduces four new methods for robust design optimization (RDO) of complex...
Robust asset allocation strategies: relaxed versus classical robustness
Robust asset allocation strategies: relaxed versus classical robustness
2014,
Many optimization problems involve parameters which are not known in advance, but can...
Safe Approximations of Ambiguous Chance Constraints Using Historical Data
Safe Approximations of Ambiguous Chance Constraints Using Historical Data
2013,
This paper proposes a new way to construct uncertainty sets for robust optimization....
A note on the Bertsimas & Sim algorithm for robust combinatorial optimization problems
A note on the Bertsimas & Sim algorithm for robust combinatorial optimization problems
2013,
We improve the well‐known result presented in Bertsimas and Sim (2003)...
A simplex‐based numerical framework for simple and efficient robust design optimization
A simplex‐based numerical framework for simple and efficient robust design optimization
2013,
The Simplex Stochastic Collocation (SSC) method is an efficient algorithm for...
Infrastructure Planning for Electric Vehicles with Battery Swapping
Infrastructure Planning for Electric Vehicles with Battery Swapping
2013,
Electric vehicles (EVs) have been proposed as a key technology to help cut down the...
Robust balancing of straight assembly lines with interval task times
Robust balancing of straight assembly lines with interval task times
2013,
This paper addresses the balancing problem for straight assembly lines where task...
Application of robust optimization to automated test assembly
Application of robust optimization to automated test assembly
2013,
In automated test assembly (ATA), 0‐1 linear programming (0‐1 LP)...
SDP reformulation for robust optimization problems based on nonconvex QP duality
SDP reformulation for robust optimization problems based on nonconvex QP duality
2013,
In a real situation, optimization problems often involve uncertain parameters. Robust...
Robust optimization and portfolio selection: The cost of robustness
Robust optimization and portfolio selection: The cost of robustness
2011,
Robust optimization is a tractable alternative to stochastic programming particularly...
Robust portfolio asset allocation and risk measures
Robust portfolio asset allocation and risk measures
2013,
Many financial optimization problems involve future values of security prices,...
Proportion‐based robust optimization and team orienteering problem with interval data
Proportion‐based robust optimization and team orienteering problem with interval data
2013,
In this paper, a proportion‐based robust optimization approach is developed to...
Robust counterparts of inequalities containing sums of maxima of linear functions
Robust counterparts of inequalities containing sums of maxima of linear functions
2013,
This paper addresses the robust counterparts of optimization problems containing sums...
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
Robust Solutions of Optimization Problems Affected by Uncertain Probabilities
2013,
In this paper we focus on robust linear optimization problems with uncertainty regions...
Regularization tools and robust optimization for ill‐conditioned least squares problem: A computational comparison
Regularization tools and robust optimization for ill‐conditioned least squares problem: A computational comparison
2011,
Least squares problems arise frequently in many disciplines such as image...
Robust Newsvendor Competition Under Asymmetric Information
Robust Newsvendor Competition Under Asymmetric Information
2011,
We generalize analysis of competition among newsvendors to a setting in which...
A soft robust model for optimization under ambiguity
A soft robust model for optimization under ambiguity
2010,
In this paper, we propose a framework for robust optimization that relaxes the...
A scalable parallel interior point algorithm for stochastic linear programming and robust optimization
A scalable parallel interior point algorithm for stochastic linear programming and robust optimization
1997,
We present a computationally efficient implementation of an interior point algorithm...
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