Constructing Uncertainty Sets for Robust Linear Optimization

DOI10.1287/opre.1080.0646zbMath1228.90061OpenAlexW2109427113WikidataQ95770610 ScholiaQ95770610MaRDI QIDQ3100442

David B. Brown, Dimitris J. Bertsimas

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.1080.0646

zbMATH Keywords

robust optimizationcoherent risk measuresuncertainty setsdistortion risk measures

Mathematics Subject Classification ID

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