A Robust Optimization Perspective on Stochastic Programming
نویسندگان
چکیده
منابع مشابه
A Robust Optimization Perspective on Stochastic Programming
In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for random variables termed the forward and backward deviations. These deviation measures capture distributional asymmetry and lead to better approximations of chance constraints. Using a linear decision rule, we also propose a tractable approximation approach for solvi...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2007
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1070.0441