Robust binary optimization using a safe tractable approximation

DOI10.1016/J.ORL.2015.06.006MaRDI QIDQ1785400zbMATH OpenOpenAlexFDO

Authors Ruken Düzgün, Aurélie Thiele

Publication date 28 September 2018

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

Full work available at URL https://doi.org/10.1016/j.orl.2015.06.006

zbMATH Keywords

chance constraintsrobust optimizationBernstein approximationbinary problems

Mathematics Subject Classification ID

Stochastic programming (90C15) Boolean programming (90C09)

Recommendations

• A note on robust 0-1 optimization with uncertain cost coefficients
• The Price of Robustness
• Strong formulations of robust mixed 0-1 programming
• Tractable approximations to robust conic optimization problems
• Robust optimization-methodology and applications

Cites work

• A soft robust model for optimization under ambiguity
• Distributionally Robust Convex Optimization
• Distributionally robust optimization and its tractable approximations
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Recent advances in robust optimization: an overview
• Robust discrete optimization and network flows
• Robust optimization
• Stochastic 0-1 linear programming under limited distributional information
• The Price of Robustness
• The extrema of probability determined by generalized moments. I: Bounded random variables
• Theory and applications of robust optimization

Cited in

(6)

• A note on robust 0-1 optimization with uncertain cost coefficients
• Strong formulations of robust mixed 0-1 programming
• A branch and bound algorithm for robust binary optimization with budget uncertainty
• Binary optimal control by trust-region steepest descent
• Robust and reliable portfolio optimization formulation of a chance constrained problem
• Robust optimization approximation for ambiguous P-model and its application

This page was built for publication: Robust binary optimization using a safe tractable approximation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1785400)