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A unified approach to uncertain optimization

Author

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  • Klamroth, Kathrin
  • Köbis, Elisabeth
  • Schöbel, Anita
  • Tammer, Christiane

Abstract

In this paper we consider uncertain scalar optimization problems with infinite scenario sets. We apply methods from vector optimization in general spaces, set-valued optimization and scalarization techniques to develop a unified characterization of different concepts of robust optimization and stochastic programming. These methods provide new insights on the interrelation between different concepts for handling uncertainties and naturally lead to new concepts of robustness.

Suggested Citation

  • Klamroth, Kathrin & Köbis, Elisabeth & Schöbel, Anita & Tammer, Christiane, 2017. "A unified approach to uncertain optimization," European Journal of Operational Research, Elsevier, vol. 260(2), pages 403-420.
    • Handle: RePEc:eee:ejores:v:260:y:2017:i:2:p:403-420
    DOI: 10.1016/j.ejor.2016.12.045
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    References listed on IDEAS

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