Robust optimization approximation for ambiguous P-model and its application
Summary: Robust optimization is a powerful and relatively novel methodology to cope with optimization problems in the presence of uncertainty. The positive aspect of robust optimization approach is its computational tractability that attracts more and more attention. In this paper, we focus on an ambiguous P-model where probability distributions are partially known. We discuss robust counterpart (RC) of uncertain linear constraints under two refined uncertain sets by robust approach and further find the safe tractable approximations of chance constraints in the ambiguous P-model. Because of the probability constraints embedded in the ambiguous P-model, it is computationally intractable. The advantage of our approach lies in choosing an implicit way to treat stochastic uncertainty models instead of solving them directly. The process above can enable the transformation of proposed P-model to a tractable deterministic one under the refined uncertainty sets. A numerical example about portfolio selection demonstrates that the ambiguous P-model can help the decision maker to determine the optimal investment proportions of various stocks. Sensitivity analyses explore the trade-off between optimization and robustness by adjusting parameter values. Comparison study is conducted to validate the benefit of our ambiguous P-model.
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Ambiguity in risk preferences in robust stochastic optimization
- Robust optimization-methodology and applications
- Robust optimization and portfolio selection: the cost of robustness
- A framework for optimization under ambiguity
- A robust counterpart approach to the bi-objective emergency medical service design problem
- Chance-constrained programming
- Convex Approximations of Chance Constrained Programs
- CVaR reduced fuzzy variables and their second order moments
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Direct algorithms for checking consistency and making inferences from conditional probability assessments
- Distributionally robust chance constraints for non-linear uncertainties
- Distributionally robust joint chance constraints with second-order moment information
- Graphoid properties of epistemic irrelevance and independence
- scientific article; zbMATH DE number 48344 (Why is no real title available?)
- On exact and approximate stochastic dominance strategies for portfolio selection
- On safe tractable approximations of chance constraints
- Optimizing call center staffing using simulation and analytic center cutting-plane methods
- Recent advances in robust optimization: an overview
- Robust binary optimization using a safe tractable approximation
- Robust convex optimization
- Robust linear optimization under general norms.
- Robust optimization
- Robust optimization and portfolio selection: the cost of robustness
- Robust optimization for relief logistics planning under uncertainties in demand and transportation time
- Robust optimization with ambiguous stochastic constraints under mean and dispersion information
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Robust portfolio selection problem under temperature uncertainty
- Robust solutions of uncertain linear programs
- Some Special P-Models in Chance-Constrained Programming
- Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
- Tractable approximations to robust conic optimization problems
- Two-stage multiobjective optimization for emergency supplies allocation problem under integrated uncertainty
- Two-stage robust optimization approach to elective surgery and downstream capacity planning
This page was built for publication: Robust optimization approximation for ambiguous P-model and its application
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1721047)
