Search Results - subject:"Robust Optimization"

Robust goal programming for multi-objective portfolio selection problem

Ghahtarani, Alireza; Najafi, Amir Abbas - In: Economic Modelling 33 (2013) C, pp. 588-592

This paper proposes a robust optimization model for the portfolio selection problem that uses a goal programming (GP …. Robust optimization is an approach that deals with the uncertainty parameters in mathematical models, and guarantees the … feasibility of the solutions. This paper tries to address the uncertainty parameters with robust optimization approach. This paper …

Persistent link: https://www.econbiz.de/10010737971

Robust optimization based self scheduling of hydro-thermal Genco in smart grids

Soroudi, Alireza - In: Energy 61 (2013) C, pp. 262-271

This paper proposes a robust optimization model for optimal self scheduling of a hydro-thermal generating company. The … for a given operating horizon. The uncertainties of electricity prices are modeled using robust optimization approach to …

Persistent link: https://www.econbiz.de/10010811327

Regularized robust optimization: the optimal portfolio execution case

Moazeni, Somayeh; Coleman, Thomas; Li, Yuying - In: Computational Optimization and Applications 55 (2013) 2, pp. 341-377

An uncertainty set is a crucial component in robust optimization. Unfortunately, it is often unclear how to specify it … in the uncertainty set may result in a large change in the robust solution. We then propose a regularized robust … optimization formulation which yields a solution with a better stability property than the classical robust solution. In this …

Persistent link: https://www.econbiz.de/10010896570

Strong duality for robust minimax fractional programming problems

Jeyakumar, V.; Li, G.Y.; Srisatkunarajah, S. - In: European Journal of Operational Research 228 (2013) 2, pp. 331-336

objective and constraints. Following the framework of robust optimization, we establish strong duality between the robust …

Persistent link: https://www.econbiz.de/10010871122

Robust sustainable bi-directional logistics network design under uncertainty

De Rosa, Vincenzo; Gebhard, Marina; Hartmann, Evi; … - In: International Journal of Production Economics 145 (2013) 1, pp. 184-198

Reverse logistics networks are often implemented to ensure a sustainable product or material recovery and to improve a company's sustainability footprint. The most common approach for designing bi-directional networks is the independent design of reverse and forward networks. The joint...

Persistent link: https://www.econbiz.de/10010869165

Delegation vs. Control of Component Procurement Under Asymmetric Cost Information and Simple Contracts

Kayis, Enis; Erhun, Feryal; Plambeck, Erica L. - In: Manufacturing & Service Operations Management 15 (2013) 1, pp. 45-56

A manufacturer must choose whether to <i>delegate</i> component procurement to her tier 1 supplier or <i>control</i> it directly. Because of information asymmetry about suppliers' production costs and the use of simple quantity discount or price-only contracts, either delegation or control can yield...

Persistent link: https://www.econbiz.de/10010990420

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

Ben-Tal, Aharon; Hertog, Dick den; Waegenaere, Anja De; … - In: Management Science 59 (2013) 2, pp. 341-357

In this paper we focus on robust linear optimization problems with uncertainty regions defined by [phi]-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on [phi]-divergences arise in a natural way as confidence sets if the uncertain...

Persistent link: https://www.econbiz.de/10010990425

Worst-Case Value at Risk of Nonlinear Portfolios

Zymler, Steve; Kuhn, Daniel; Rustem, Berç - In: Management Science 59 (2013) 1, pp. 172-188

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are compounded when the portfolio contains...

Persistent link: https://www.econbiz.de/10010990468

Exact approaches for solving robust prize-collecting Steiner tree problems

Álvarez-Miranda, Eduardo; Ljubić, Ivana; Toth, Paolo - In: European Journal of Operational Research 229 (2013) 3, pp. 599-612

In the Prize-Collecting Steiner Tree Problem (PCStT) we are given a set of customers with potential revenues and a set of possible links connecting these customers with fixed installation costs. The goal is to decide which customers to connect into a tree structure so that the sum of the link...

Persistent link: https://www.econbiz.de/10011052798

BSDEs with jumps, optimization and applications to dynamic risk measures

Quenez, Marie-Claire; Sulem, Agnès - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3328-3357

risk measures in the convex case as well as some results on a robust optimization problem in the case of model ambiguity. …

Persistent link: https://www.econbiz.de/10011065062