메뉴 건너뛰기




Volumn 43, Issue 7, 1997, Pages 895-907

Making a case for robust optimization models

Author keywords

Decomposition Algorithm; Financial Planning; Nonlinear Objective; Robust Optimization; Telecommunication Network; Utility Function

Indexed keywords

ALGORITHMS; DECISION MAKING; FINANCE; LINEAR PROGRAMMING; MATHEMATICAL MODELS; OPTIMIZATION; PIECEWISE LINEAR TECHNIQUES; PLANNING; PROBABILITY; RANDOM PROCESSES; RISK ASSESSMENT; TELECOMMUNICATION NETWORKS;

EID: 0031176846     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.43.7.895     Document Type: Article
Times cited : (108)

References (25)
  • 1
    • 2042436223 scopus 로고
    • Technical Report SOR-94-14, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ
    • Bai, D., T. Carpenter, and J. Mulvey, "Stochastic Programming to Promote Network Survivability," Technical Report SOR-94-14, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ, 1994.
    • (1994) Stochastic Programming to Promote Network Survivability
    • Bai, D.1    Carpenter, T.2    Mulvey, J.3
  • 2
    • 0012624985 scopus 로고
    • Solving Multistage Stochastic Programs Using Tree Dissection
    • Technical Report SOR-95-07, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ, to appear
    • Berger, A. J., J. M. Mulvey, E. Rothberg, and R. Vanderbei, "Solving Multistage Stochastic Programs Using Tree Dissection," Technical Report SOR-95-07, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ, 1995; to appear in SIAM J. Optimization.
    • (1995) SIAM J. Optimization
    • Berger, A.J.1    Mulvey, J.M.2    Rothberg, E.3    Vanderbei, R.4
  • 3
    • 0001106861 scopus 로고
    • An Extension of the DQA Algorithm to Convex Stochastic Programs
    • _, _, and A. Ruszczynski, "An Extension of the DQA Algorithm to Convex Stochastic Programs," SIAM J. Optimization, 4 (1994), 735-753.
    • (1994) SIAM J. Optimization , vol.4 , pp. 735-753
    • Ruszczynski, A.1
  • 5
    • 5244241842 scopus 로고
    • PhD. Dissertation, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ
    • Carpenter, T. J., Practical Interior Point Methods for Quadratic Programming, PhD. Dissertation, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ, 1992.
    • (1992) Practical Interior Point Methods for Quadratic Programming
    • Carpenter, T.J.1
  • 6
    • 0039589949 scopus 로고
    • Separable Quadratic Programming via a Primal-dual Interior Point Method and Its Use in a Sequential Procedure
    • _, I. J. Lustig, J. M. Mulvey, and D. F. Shanno, "Separable Quadratic Programming via a Primal-dual Interior Point Method and Its Use in a Sequential Procedure," ORSA J. Computing, 5 (1993), 182-191.
    • (1993) ORSA J. Computing , vol.5 , pp. 182-191
    • Lustig, I.J.1    Mulvey, J.M.2    Shanno, D.F.3
  • 7
    • 0002395681 scopus 로고
    • Chance-Constrained Programming
    • Charnes, D. and W. W. Cooper, "Chance-Constrained Programming," Management Sci., 5 (1959), 197-207.
    • (1959) Management Sci. , vol.5 , pp. 197-207
    • Charnes, D.1    Cooper, W.W.2
  • 10
    • 0027086476 scopus 로고
    • Solving Piecewise-linear Programs: Experiments with a Simplex Approach
    • Fourer, R. and R. E. Marsten, "Solving Piecewise-linear Programs: Experiments with a Simplex Approach," ORSA J. Computing, 4 (1992), 16-31.
    • (1992) ORSA J. Computing , vol.4 , pp. 16-31
    • Fourer, R.1    Marsten, R.E.2
  • 12
    • 0030407534 scopus 로고    scopus 로고
    • A Standard Measure of Risk and Risk-value Models
    • Jia, J. and J. S. Dyer, "A Standard Measure of Risk and Risk-value Models," Management Sci. 42 (1996), 1691-1705.
    • (1996) Management Sci. , vol.42 , pp. 1691-1705
    • Jia, J.1    Dyer, J.S.2
  • 14
    • 0022715033 scopus 로고
    • A Bank Asset and Liability Management Model
    • Kusy, M. I. and W. T. Ziemba, "A Bank Asset and Liability Management Model," Over. Res., 34 (1986), 356-376.
    • (1986) Over. Res. , vol.34 , pp. 356-376
    • Kusy, M.I.1    Ziemba, W.T.2
  • 15
    • 0001380612 scopus 로고
    • Formulating Two-Stage Stochastic Programs for Interior Point Methods
    • Lustig, I. J., J. M. Mulvey, and T. J. Carpenter, "Formulating Two-Stage Stochastic Programs for Interior Point Methods," Oper. Res., 39 (1991), 757-770.
    • (1991) Oper. Res. , vol.39 , pp. 757-770
    • Lustig, I.J.1    Mulvey, J.M.2    Carpenter, T.J.3
  • 16
    • 5244226349 scopus 로고
    • Solving Stochastic Control Problems in Finance via Global Optimization
    • Technical Report SOR-94-01, Statistics and Operations Research, Princeton University, Princeton, NJ, To appear
    • Maranas, C. D., I. P. Androulakis, C. A. Floudas, A. J. Berger, and J. M. Mulvey, "Solving Stochastic Control Problems in Finance via Global Optimization," Technical Report SOR-94-01, Statistics and Operations Research, Princeton University, Princeton, NJ, 1993. To appear in J. Economic Dynamics and Control.
    • (1993) J. Economic Dynamics and Control
    • Maranas, C.D.1    Androulakis, I.P.2    Floudas, C.A.3    Berger, A.J.4    Mulvey, J.M.5
  • 18
    • 5244297392 scopus 로고
    • Integrating Assets and Liabilities for Large Financial Organizations
    • W. W. Cooper and A. B. Whinston (Eds.), Kluwer Academic Publishers
    • Mulvey, J. M., "Integrating Assets and Liabilities for Large Financial Organizations," in W. W. Cooper and A. B. Whinston (Eds.), New Directions in Computational Economics, Kluwer Academic Publishers, 1994.
    • (1994) New Directions in Computational Economics
    • Mulvey, J.M.1
  • 19
    • 0039270669 scopus 로고    scopus 로고
    • Generating Scenarios for the Towers Perrin Investment Systems
    • _, "Generating Scenarios for the Towers Perrin Investment Systems," Interfaces, 26 (1996), 1-15.
    • (1996) Interfaces , vol.26 , pp. 1-15
  • 20
    • 85108976174 scopus 로고
    • Robust Optimization of Large-scale Systems
    • _, R. Vanderbei, and S. Zenios, "Robust Optimization of Large-scale Systems," Oper. Res., 43, 2 (1995), 264-281.
    • (1995) Oper. Res. , vol.43 , Issue.2 , pp. 264-281
    • Vanderbei, R.1    Zenios, S.2
  • 21
    • 33748414943 scopus 로고
    • A Network Recourse Decomposition Method for Dynamic Networks with Random Arc Capacities
    • Powell, W. B. and R. K.-M. Cheung, "A Network Recourse Decomposition Method for Dynamic Networks with Random Arc Capacities," Networks, 24, 7 (1994), 369-384.
    • (1994) Networks , vol.24 , Issue.7 , pp. 369-384
    • Powell, W.B.1    Cheung, R.K.-M.2
  • 22
    • 0000138054 scopus 로고    scopus 로고
    • Optimal Routing in Self-healing Communications Networks
    • Saniee, I., "Optimal Routing in Self-healing Communications Networks," International Trans, in Oper. Res., 3 (1996), 187-195.
    • (1996) International Trans, in Oper. Res. , vol.3 , pp. 187-195
    • Saniee, I.1
  • 23
    • 0003664630 scopus 로고
    • Technical Report SOR-92-5, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ
    • Vanderbei, R. J., "LOQO User's Manual," Technical Report SOR-92-5, Department of Civil Engineering and Operations Research, Princeton University, Princeton, NJ, 1992.
    • (1992) LOQO User's Manual
    • Vanderbei, R.J.1
  • 24
    • 0002975395 scopus 로고
    • Large Scale Linear Programming Techniques
    • Yu. Ermoliev and R. J.-B. Wets (Eds.), Springer-Verlag, Berlin
    • Wets, R. J.-B., "Large Scale Linear Programming Techniques," in Yu. Ermoliev and R. J.-B. Wets (Eds.), Numerical Methods in Stochastic Programming, Springer-Verlag, Berlin, 65-94, 1988.
    • (1988) Numerical Methods in Stochastic Programming , pp. 65-94
    • Wets, R.J.-B.1
  • 25
    • 5244371055 scopus 로고
    • Introduction to the IBM Optimization Subroutine Library
    • Wilson, D. G. and B. D. Rudin, "Introduction to the IBM Optimization Subroutine Library," IBM Systems J., 31 (1992), 4-10.
    • (1992) IBM Systems J. , vol.31 , pp. 4-10
    • Wilson, D.G.1    Rudin, B.D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.