Tractable stochastic analysis in high dimensions via robust optimization

DOI10.1007/S10107-012-0567-2zbMath1263.90001OpenAlexW2041774785MaRDI QIDQ715242

Michael Martin Chaithanya Bandi, Dimitris J. Bertsimas

Publication date: 2 November 2012

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/82870

zbMATH Keywords

queueingoption pricingrobust optimizationmechanism designstochastic analysis

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Queues and service in operations research (90B22) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Optimality conditions for problems involving randomness (49K45)

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Uses Software

• STABLE

Cites Work

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