A practical guide to robust optimization

被引：422

作者：

Gorissen, Bram L. ^{[1
]}

Yanikoglu, Ihsan ^{[1
,2
]}

den Hertog, Dick ^{[1
]}

机构：

[1] Tilburg Univ, Ctr Econ Res CentER, NL-5000 LE Tilburg, Netherlands

[2] Ozyegin Univ, Dept Ind Engn, Istanbul, Turkey

来源：

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE | 2015年 / 53卷

关键词：

Robust optimization; Adjustable robust optimization; RANDOMIZED SOLUTIONS; DECISION RULES; COUNTERPARTS; SHARE;

D O I：

10.1016/j.omega.2014.12.006

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Robust optimization is a young and active research field that has been mainly developed in the last 15 years. Robust optimization is very useful for practice, since it is tailored to the information at hand, and it leads to computationally tractable formulations. It is therefore remarkable that real-life applications of robust optimization are still lagging behind; there is much more potential for-real-life applications than has been exploited hitherto. The aim of this paper is to help practitioners to understand robust optimization and to successfully apply it in practice. We provide a brief introduction to robust optimization, and also describe important do's and don'ts for using it in practice. We use many small examples to illustrate our discussions. (C) 2014 Elsevier Ltd. All rights reserved.

引用

页码：124 / 137

页数：14