Robust optimization for environmental and energy planning

International Series in Operations Research and Management Science

Volumn 138, Issue , 2010, Pages 79-126

  Babonneau, F ^a   Vial, J P ^a   Apparigliato, R ^b  

^a ORDECSYS Company   (Switzerland)

^b GDF SUEZ   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84955115081     PISSN: 08848289     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-1-4419-1129-2_3     Document Type: Chapter

References (38)

1. E. Adida and G. Perakis. A robust optimization approach to dynamic pricing and inventory control with no backorders. Mathematical Programming, 107(1-2):97-129, 2006.
2. R. Apparigliato. Règles de décision pour la gestion du risque: Application à la gestion hebdomadaire de la production électrique. PhD thesis, Ecole Polytechnique, Paris, 2008.
3. R. Apparigliato, J.-P. Vial, and R. Zorgati. Optimisation robuste linéaire: application à la gestion court terme d’une vallée hydraulique. Working paper H-R32-2007-00658-FR, EDF R& D, Département Osiris, 1, avenue du Général de Gaulle, F-92141 Clamart, 2007.
4. A. Ben-Tal, S. Boyd, and A. Nemirovski. Extending the scope of robust optimization: Comprehensive robust counterparts of uncertain problems. Mathematical Programming Series B, 107(1-2):63-89, 2006.
5. A. Ben-Tal, L. El Ghaoui, and A. Nemirovski. Robust Optimization. Princeton University Press (Book under review), 2009.
6. A. Ben-Tal, B. Golany, A. Nemirovski, and J.-Ph. Vial. Retailer-supplier flexible commitments contracts: a robust optimization approach. Manufacturing and Service Operations Management, 7:248-271, 2005.
7. A. Ben-Tal, B. Golany, and S. Shtern. Robust multi-echelon, multi-period inventory control. Technical report, 2008. To appear in European Journal of Operational Research.
8. A. Ben-Tal, A. Goryashko, E. Guslitzer, and A. Nemirovski. Adjustable robust solutions of uncertain linear programs. Mathematical Programming, 99(2):351-376, 2004.
9. A. Ben-Tal and A. Nemirovski. Robust convex optimization. Mathematics of Operations Research, 23:769-805, 1998.
10. A. Ben-Tal and A. Nemirovski. Robust solutions of linear programming problems contaminated with uncertain data. Mathematical Programming Series A, 88:411-424, 2000.
11. A. Ben-Tal and A. Nemirovski. Lectures on Modern Convex Optimization: Analysis, Algorithms and Engineering Applications. MPS-SIAM series on Optimization. Society for Industrial and Applied Mathematics and Mathematical Programming Society, 2001.
12. A. Ben-Tal and A. Nemirovski. Selected topics in robust convex optimization. Technical report, Faculty of Industrial Engineering and Management, Technion, Technion city, Haifa 32000, Israel, 2006. (To appear in Mathematical Programming).
13. D.P. Bertsekas. Dynamic Programming and Optimal Control. Athena Scientific, Belmont, Mass., 1995.
14. D. Bertsimas, D. Pachamanova, and M. Sim. Robust linear optimization under general norms. Operations Research Letters, 32:510-516, 2004.
15. D. Bertsimas and M. Sim. Price of robustness. Operations Research, 52:35-53, 2004.
16. D. Bertsimas and A. Thiele. A robust optimization approach to inventory theory. Operations Research, 54(1):150-168, 2006.
17. D. Bienstock. Experiments in robust portfolio optimization. Technical report, Center for Financial Engineering, Columbia University, January 2007.
18. J. R. Birge and F. Louveaux. Introduction do stochastic programming. Springer-Verlag New York, Inc., 1997.
19. G. C. Calafiore. Ambiguous risk measures and optimal robust portfolios. Technical report (to appear in SIAM Journal on Optimization 2007), Dipartmento di Automatica e Informatica, Politecnico di Torino, Italy, 2007.
20. G. C. Calafiore and L. El-Gahoui. On distributionally robust chance- constrained linear programs. Journal of Optimization Theory and Applica- tions, 130:1-22, 2006.
21. S. Ceria and R. Stubbs. Incorporating estimation errors into portfolio selection: Robust portfolio construction. Journal of Asset Management, 7(2):109-127, 2006.
22. A. Charnes and W.W. Cooper. Chance constrained programming. Management Science, 6:73-89, 1959.
23. A. Charnes, W.W. Cooper, and G.H. Symonds. Cost horizons and certainty equivalents: an approach to stochastic programming of heating oil. Management Science, 4:235-263, 1958.
24. X. Chen, M. Sim, and P. Sun. A robust optimization perspective of stochastic programming. Working paper, NUS Business school, 2005.
25. G. B. Dantzig and A. Madansky. On the solution of two-stage linear programs under uncertainty. In Jerzy Neyman, editor, Fourth Berkeley Symposium on Mathematical Statistics and Probability (June 20-July 30, 1960), volume 1, pages 165-176. University of California Press, 1961.
26. G.B. Dantzig. Linear programming under uncertainty. Management Science, 1(3-4):197-206, 1956.
27. Fragnière E. and Haurie A. Markal-geneva: a model to assess energyenvironment choices for a swiss canton. In Carraro C, Haurie A (eds) Operations research and environmental management. Kluwer Academic Books, Dordrecht, 1996.
28. L. El Ghaoui and H. Lebret. Robust solutions to least-square problems to uncertain data matrices. SIAM Journal of Matrix Analysis and Applications, 18:1035-1064, 1997.
29. S. J. Garstka and R. J.-B. Wets. On decision rules in stochastic programming. Mathematical Programming, 7:117-143, 1974.
30. D. Goldfarb and G. Iyengar. Robust portfolio selection problems. Mathematics of Operations Research, 28:1-38, 2003.
31. C.C. Holt, F. Modigliani, and H.A. Simon. A linear decision rule for production and employment scheduling. Management Science, 2(1):1-30, 1955.
32. G. Iyengar. Robust dynamic programming. Mathematics of Operations Research, 30:257-280, 2005.
33. P. Kall and S. W. Wallace. Stochastic Programming, volume 2nd edition. John Wiley & Sons, Chichester, 1994.
34. L.B. Miller and H. Wagner. Chance-constrained programming with joint constraints. Operations Research, 13, 1965.
35. A. Ouorou and J.-P. Vial. A model for robust capacity planning for telecommunications networks under demand uncertainty. In Proceedings of the 6th Inter- national Workshop on Design and Reliable Communication Networks, DRCN 2007, 2007.
36. A. Prékopa. On probabilistic constrained programming. In Proceedings of the Princeton Symposium on Mathematical Programming, pages 113-138. Princeton University Press, Princeton, 1970.
37. A. L. Soyster. Convex programming with set-inclusive constraints and applications to inexact linear programming. Operations Research, 21:1154-1157, 1973.
38. J.F. Sturm. Using SeDuMi 1.02, a Matlab Toolbox for Optimization over Symmetric Cones (updated for version 1.05). Technical report, 2001.