Search Results - subject:"Robust Optimization"

An integrated framework of agent-based modelling and robust optimization for microgrid energy management

Kuznetsova, Elizaveta; Li, Yan-Fu; Ruiz, Carlos; Zio, Enrico - In: Applied Energy 129 (2014) C, pp. 70-88

Robust Optimization (RO). The developed framework is shown to lead to an increase in system performance, evaluated in terms …

Persistent link: https://www.econbiz.de/10010784927

Supply chain downsizing under bankruptcy: A robust optimization approach

Ashayeri, J.; Ma, N.; Sotirov, R. - In: International Journal of Production Economics 154 (2014) C, pp. 1-15

robust counterparts of the MIP model are further developed based on robust optimization techniques for dealing with …

Persistent link: https://www.econbiz.de/10010785060

A robust-CVaR optimization approach with application to breast cancer therapy

Chan, Timothy C.Y.; Mahmoudzadeh, Houra; Purdie, Thomas G. - In: European Journal of Operational Research 238 (2014) 3, pp. 876-885

We present a framework to optimize the conditional value-at-risk (CVaR) of a loss distribution under uncertainty. Our model assumes that the loss distribution is dependent on the state of some system and the fraction of time spent in each state is uncertain. We develop and compare two...

Persistent link: https://www.econbiz.de/10010785308

Robust combinatorial optimization with variable cost uncertainty

Poss, Michael - In: European Journal of Operational Research 237 (2014) 3, pp. 836-845

We present in this paper a new model for robust combinatorial optimization with cost uncertainty that generalizes the classical budgeted uncertainty set. We suppose here that the budget of uncertainty is given by a function of the problem variables, yielding an uncertainty multifunction. The new...

Persistent link: https://www.econbiz.de/10010871195

A cardinality-constrained robust model for the assignment problem in Home Care services

Carello, Giuliana; Lanzarone, Ettore - In: European Journal of Operational Research 236 (2014) 2, pp. 748-762

Home Care includes medical, paramedical and social services which are delivered to patients at their domicile rather than in hospital. Managing human and material resources in Home Care services is a difficult task, as the provider has to deal with peculiar constraints (e.g., the continuity of...

Persistent link: https://www.econbiz.de/10010871228

Robust Facility Location Problem for Hazardous Waste Transportation

Berglund, Paul; Kwon, Changhyun - In: Networks and Spatial Economics 14 (2014) 1, pp. 91-116

algorithm is explored. Through numerical experiments, we discuss the impact of uncertainty and robust optimization in the hazmat …

Persistent link: https://www.econbiz.de/10010865602

Robust price-setting newsvendor model with interval market size and consumer willingness-to-pay

Wang, Charles X.; Webster, Scott; Zhang, Sidong - In: International Journal of Production Economics 154 (2014) C, pp. 100-112

We consider a price-setting newsvendor problem with partial information. The newsvendor does not know the price-dependent probability distribution of demand, but is able to estimate lower and upper limits of the market size and consumer willingness-to-pay. The objective is to minimize the...

Persistent link: https://www.econbiz.de/10010869189

Robust option pricing

Bandi, Chaithanya; Bertsimas, Dimitris - In: European Journal of Operational Research 239 (2014) 3, pp. 842-853

In this paper, we combine robust optimization and the idea of ∊-arbitrage to propose a tractable approach to price a … robust optimization problem that identifies the portfolio which minimizes the worst case replication error for a given …

Persistent link: https://www.econbiz.de/10011052441

Recent advances in robust optimization: An overview

Gabrel, Virginie; Murat, Cécile; Thiele, Aurélie - In: European Journal of Operational Research 235 (2014) 3, pp. 471-483

This paper provides an overview of developments in robust optimization since 2007. It seeks to give a representative … optimization and its practice. With respect to the theory of robust optimization, this paper reviews recent results on the cases … risk theory, the concept of distributionally robust optimization, and findings in robust nonlinear optimization. With …

Persistent link: https://www.econbiz.de/10011052522

Equilibrium in an ambiguity-averse mean–variance investors market

Pınar, Mustafa Ç. - In: European Journal of Operational Research 237 (2014) 3, pp. 957-965

In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we derive a closed form...

Persistent link: https://www.econbiz.de/10011052766