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Adjustable Robust Parameter Design with Unknown Distributions

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  • Yanikoglu, I.

    (Tilburg University, Center For Economic Research)

  • den Hertog, D.

    (Tilburg University, Center For Economic Research)

  • Kleijnen, Jack P.C.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Yanikoglu, I. & den Hertog, D. & Kleijnen, Jack P.C., 2013. "Adjustable Robust Parameter Design with Unknown Distributions," Discussion Paper 2013-022, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:47fec228-1ffe-4803-8e97-58a9a822e96f
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    References listed on IDEAS

    as
    1. Yanikoglu, I. & den Hertog, D., 2011. "Safe Approximations of Chance Constraints Using Historical Data," Discussion Paper 2011-137, Tilburg University, Center for Economic Research.
    2. A K Miranda & E Del Castillo, 2011. "Robust parameter design optimization of simulation experiments using stochastic perturbation methods," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(1), pages 198-205, January.
    3. Jack P.C. Kleijnen, 2015. "Design and Analysis of Simulation Experiments," International Series in Operations Research and Management Science, Springer, edition 2, number 978-3-319-18087-8, September.
    4. A. Ben-Tal & A. Nemirovski, 1998. "Robust Convex Optimization," Mathematics of Operations Research, INFORMS, vol. 23(4), pages 769-805, November.
    5. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
    6. Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Management Science, INFORMS, vol. 59(2), pages 341-357, April.
    7. Gabriella Dellino & Jack P. C. Kleijnen & Carlo Meloni, 2012. "Robust Optimization in Simulation: Taguchi and Krige Combined," INFORMS Journal on Computing, INFORMS, vol. 24(3), pages 471-484, August.
    8. O. Vanli & Enrique Del Castillo, 2009. "Bayesian approaches for on-line robust parameter design," IISE Transactions, Taylor & Francis Journals, vol. 41(4), pages 359-371.
    9. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Other publications TiSEM 130bc0dc-cebe-40dc-8da9-a, Tilburg University, School of Economics and Management.
    10. Zhaolin Hu & Jing Cao & L. Jeff Hong, 2012. "Robust Simulation of Global Warming Policies Using the DICE Model," Management Science, INFORMS, vol. 58(12), pages 2190-2206, December.
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    Cited by:

    1. Jack P. C. Kleijnen, 2015. "Response Surface Methodology," International Series in Operations Research & Management Science, in: Michael C Fu (ed.), Handbook of Simulation Optimization, edition 127, chapter 0, pages 81-104, Springer.
    2. Gorissen, B.L., 2014. "Practical robust optimization techniques and improved inverse planning of HDR brachytherapy," Other publications TiSEM 931e020a-2486-4e12-9731-3, Tilburg University, School of Economics and Management.
    3. Kleijnen, Jack P.C., 2013. "Simulation-Optimization via Kriging and Bootstrapping : A Survey (Revision of CentER DP 2011-064)," Other publications TiSEM 6ac4e049-ad86-447f-aeec-a, Tilburg University, School of Economics and Management.
    4. Bram L. Gorissen, 2015. "Robust Fractional Programming," Journal of Optimization Theory and Applications, Springer, vol. 166(2), pages 508-528, August.

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