Theory and Applications of Robust Optimization
Author(s)Bertsimas, Dimitris J.; Brown, David B.; Caramanis, Constantine
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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.
DepartmentMassachusetts Institute of Technology. Operations Research Center; Sloan School of Management
Society of Industrial and Applied Mathematics
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
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