Theory and Applications of Robust Optimization
Name
Bertsimas-2011-Theory and Applicati.pdf
Size
437.45 KB
Format
Adobe PDF
Checksum (MD5)
459dfdfaa54676703af06a27d2e0b97a
Author(s)
Brown, David B.
Caramanis, Constantine
Bertsimas, Dimitris J
Date Issued
August 2011
Journal
SIAM Review
Publisher
Society of Industrial and Applied Mathematics
Citation
Bertsimas, Dimitris, David B. Brown, and Constantine Caramanis. “Theory and Applications of Robust Optimization.” SIAM Review 53 (3) (2011): 464. © 2011 Society for Industrial and Applied Mathematics
Version
Final published version
Abstract
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.
MIT Department
Massachusetts Institute of Technology. Operations Research Center
Sloan School of Management
Terms of Use
Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1137/080734510
