Constructing Uncertainty Sets for Robust Linear Optimization
نویسندگان
چکیده
منابع مشابه
Constructing Uncertainty Sets for Robust Linear Optimization
In this paper, we propose a methodology for constructing uncertainty sets within the framework of robust optimization for linear optimization problems with uncertain parameters. Our approach relies on decision-maker risk preferences. Specifically, we utilize the theory of coherent risk measures initiated by Artzner et al. [3], and show that such risk measures, in conjunction with the support of...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2009
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1080.0646