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Hints for practical robust optimization

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  • Gorissen, B.L.
  • Yanikoglu, I.
  • Hertog, D. den

    (Tilburg University, Center for Economic Research)

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    Abstract

    Abstract: Robust optimization (RO) is a young and active research field that has been mainly developed in the last 15 years. RO techniques are very useful for practice and not difficult to understand for practitioners. It is therefore remarkable that real-life applications of RO are still lagging behind; there is much more potential for real-life applications than has been exploited hitherto. The aim of this paper is to help practitioners to successfully apply RO in practice. We pinpoint several important items that may be helpful for successfully applying RO. We use many small examples to illustrate our discussions.

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    Bibliographic Info

    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2013-065.

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    Date of creation: 2013
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    Handle: RePEc:dgr:kubcen:2013065

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    Web page: http://center.uvt.nl

    Related research

    Keywords: robust optimization; adjustable robust optimization;

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    1. Gorissen, B.L. & Ben-Tal, A. & Blanc, J.P.C. & Hertog, D. den, 2012. "A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets," Discussion Paper 2012-076, Tilburg University, Center for Economic Research.
    2. Ben-Tal, A. & Hertog, D. den & De Waegenaere, A.M.B. & Melenberg, B. & Rennen, G., 2011. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Discussion Paper 2011-061, Tilburg University, Center for Economic Research.
    3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
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