Robust solutions of optimization problems affected by uncertain probabilities

Management Science

Volumn 59, Issue 2, 2013, Pages 341-357

  Ben Tal, Aharon ^a,b   Den Hertog, Dick ^b   De Waegenaere, Anja ^b   Melenberg, Bertrand ^b   Rennen, Gijs ^b  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

divergence; Goodness of fit statistics; Robust optimization

Indexed keywords

ASSET PRICING; CHI-SQUARED; CONFIDENCE SETS; EXPECTED UTILITY; GOODNESS-OF-FIT STATISTICS; KULLBACK-LEIBLER; LINEAR OPTIMIZATION PROBLEMS; MULTI-ITEM; NEWSVENDORS; OPTIMIZATION PROBLEMS; OPTIMIZATION VARIABLES; PROBABILITY VECTOR; ROBUST OPTIMIZATION; ROBUST SOLUTIONS; UNCERTAIN PARAMETERS; UNCERTAIN PROBABILITIES; UNCERTAINTY REGIONS;

MANAGEMENT; MANAGEMENT SCIENCE;

OPTIMIZATION;

EID: 84874140886     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1120.1641     Document Type: Article

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