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Theory and Applications of Robust Optimization

SIAM review, 2011-01, Vol.53 (3), p.464-501 [Peer Reviewed Journal]

Copyright ©2011 Society for Industrial and Applied Mathematics ;2015 INIST-CNRS ;[Copyright] © 2011 Society for Industrial and Applied Mathematics ;ISSN: 0036-1445 ;EISSN: 1095-7200 ;DOI: 10.1137/080734510 ;CODEN: SIREAD

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Title:
Theory and Applications of Robust Optimization
Author: Bertsimas, Dimitris ; Brown, David B. ; Caramanis, Constantine
Subjects: Algorithms ; Analysis ; Approximation ; Calculus of variations and optimal control ; Computer science ; Covariance ; Decision making ; Dynamic programming ; Exact sciences and technology ; Linear programming ; Mathematical analysis ; Mathematical programming ; Mathematical robustness ; Mathematics ; Matrices ; Methods of scientific computing (including symbolic computation, algebraic computation) ; Motivation ; Numerical analysis ; Numerical analysis. Scientific computation ; Numerical methods in mathematical programming, optimization and calculus of variations ; Numerical methods in optimization and calculus of variations ; Operator theory ; Optimization ; Robust control ; Robust optimization ; Sciences and techniques of general use ; Stochastic models ; Studies ; SURVEY and REVIEW ; Textbooks
Is Part Of: SIAM review, 2011-01, Vol.53 (3), p.464-501
Description: In this paper we survey the primary research, both theoretical and applied, in the area of robust optimization (RO). Our focus is on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying prominent theoretical results of RO, we also present some recent results linking RO to adaptable models for multistage decision-making problems. Finally, we highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.
Publisher: Philadelphia, PA: Society for Industrial and Applied Mathematics
Language: English
Identifier: ISSN: 0036-1445
EISSN: 1095-7200
DOI: 10.1137/080734510
CODEN: SIREAD
Source: ProQuest Central

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Theory and Applications of Robust Optimization

Copyright ©2011 Society for Industrial and Applied Mathematics ;2015 INIST-CNRS ;[Copyright] © 2011 Society for Industrial and Applied Mathematics ;ISSN: 0036-1445 ;EISSN: 1095-7200 ;DOI: 10.1137/080734510 ;CODEN: SIREAD

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