A unified approach to uncertain optimization

Kathrin Klamroth, Elisabeth Köbis, Anita Schöbel and Christiane Tammer

European Journal of Operational Research, 2017, vol. 260, issue 2, 403-420

Abstract: In this paper we consider uncertain scalar optimization problems with infinite scenario sets. We apply methods from vector optimization in general spaces, set-valued optimization and scalarization techniques to develop a unified characterization of different concepts of robust optimization and stochastic programming. These methods provide new insights on the interrelation between different concepts for handling uncertainties and naturally lead to new concepts of robustness.

Keywords: Robust optimization; Stochastic optimization; Set optimization; vector optimization; Nonlinear scalarization (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:260:y:2017:i:2:p:403-420

DOI: 10.1016/j.ejor.2016.12.045

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