RCMARS: Robustification of CMARS with different scenarios under polyhedral uncertainty set

Communications in Nonlinear Science and Numerical Simulation

Volumn 16, Issue 12, 2011, Pages 4780-4787

  Özmen, Ayşe ^a   Weber, Gerhard Wilhelm ^a   Batmaz, Inci ^a   Kropat, Erik ^b  

^a MIDDLE EAST TECHNICAL UNIVERSITY   (Turkey)

^b BUNDESWEHR UNIVERSITY MUNICH   (Germany)

Author keywords

Regression; Robust optimization; Robustness; Uncertainty

Indexed keywords

DATA HANDLING; OPTIMIZATION;

COMPLEX DATA; DATA UNCERTAINTY; HETEROGENEOUS DATA; OUTPUT AND INPUTS; OUTPUT VARIABLES; REGRESSION; ROBUST OPTIMIZATION; ROBUSTIFICATION; ROBUSTNESS; UNCERTAINTY;

NUMERICAL METHODS;

EID: 79960254113     PISSN: 10075704     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cnsns.2011.04.001     Document Type: Article

References (15)

1. Ben-Tal A., Nemirovski A. Lectures on modern convex optimization: analysis, algorithms, and engineering applications. MPR-SIAM series on optimization 2001, SIAM, Philadelphia.
2. Ben-Tal A., Nemirovski A. Robust optimization - methodology and applications. Math Program 2002, 92(3):453-480.
3. Bertsimas D, Brown DB, Caramanis C. Theory and applications of robust Optimization, Technical Report, University of Texas, Austin, TX, USA, 2007.
4. Boni O. Robust solutions of conic quadratic problems, Ph.D. Dissertation, Technion, Israeli Institute of Technology, 2007.
5. El-Ghaoui L., Lebret H. Robust solutions to least-square problems to uncertain data matrices. SIAM J Matrix Anal Appl 1997, 18:1035-1064.
6. El-Ghaoui L. Robust Optimization and Applications, IMA Tutorial, 2003.
7. Fabozzi F.J., Kolm P.N., Pachamanova D.A., Focardi S.M. Robust portfolio optimization and management 2007, Wiley Finance, New Jersey.
8. Friedman J.H. Multivariate adaptive regression splines. The Ann Statist 1991, 19(1):1-141.
9. MARS® Salford Systems. Available from: http://www.salfordsystems.com.
10. MOSEK™. Available from: http://www.mosek.com.
11. Özmen A, Weber G-W, Batmaz I. The new robust CMARS (RCMARS) method. In: ISI Proceedings of 24th MEC-EurOPT 2010-continuous optimization and information-based technologies in the financial sector, İzmir, Turkey; 2010, p. 362-8.
12. Özmen A. Robust conic quadratic programming applied to quality improvement - A robustification of CMARS, M.Sc. Thesis, Middle East Technical University; 2010.
13. Schöttle K, Werner R. Consistency of robust portfolio estimators, OR and Management Sciences; 2006.
14. Weber G-W, Batmaz I, Köksal G, Taylan P, Yerlikaya F. CMARS: a new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous optimization. Technical Report, Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey; 2009.
15. Werner R. Cascading: an adjusted exchange method for robust conic programming. CEJOR Cent Eur J Oper Res 2008, 16:179-189.