Short-term performance of a production management system for make-to-stock factories may be quantified through the service rate per shift, long-term performance through the average monthly work in process (WIP). This may yield, for example, that WIP is minimized, while the probability of the...

We propose a new way to derive tractable robust counterparts of a linear conic optimization problem by using the theory of Beck and Ben-Tal on the duality between the robust (“pessimistic”) primal problem and its “optimistic” dual. First, we obtain a new convex reformulation of the dual...

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