HOW TO DEAL WITH UNCERTAINTY IN OPTIMIZATION — SOME RECENT ATTEMPTS

Masao Fukushima ()
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Masao Fukushima: Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan

International Journal of Information Technology & Decision Making (IJITDM), 2006, vol. 05, issue 04, 623-637

Abstract: In this paper, we give a brief summary of the author's recent attempts conducted in collaboration with a number of co-authors to deal with uncertainty in various optimization problems, including complementarity problem, mathematical program with equilibrium constraints, as well as applications in data mining, mathematical finance, and game theory.

Keywords: Uncertainty; stochastic equilibrium model; robust optimization; second-order cone problem (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijitdm:v:05:y:2006:i:04:n:s0219622006002192

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DOI: 10.1142/S0219622006002192

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