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...

We propose the use of robust optimization (RO) as a powerful methodology for multiperiod stochastic operations management problems. In particular, we study a two-echelon multiperiod supply chain problem, known as the retailer-supplier flexible commitment (RSFC) problem with uncertain demand that...