Theory and Applications of Robust Optimization

作者：David B. Brown, Constantine Caramanis, Dimitris Bertsimas · 发表于：DSpace@MIT (Massachusetts Institute of Technology) · 年份：2010 · 被引用次数：2570 · 研究领域：Risk and Portfolio Optimization、Probabilistic and Robust Engineering Design、Fuzzy Systems and Optimization

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.