The State of Robust Optimization

Seçil Sözüer () and Aurélie C. Thiele ()
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Seçil Sözüer: Lehigh University
Aurélie C. Thiele: Lehigh University

Chapter Chapter 5 in Robustness Analysis in Decision Aiding, Optimization, and Analytics, 2016, pp 89-112 from Springer

Abstract: Abstract This survey presents a broad overview of the developments in robust optimization over the past 5 years, i.e., between 2011 and 2015. We highlight the advancement of knowledge both with respect to the theory of robust optimization and application areas. From a theoretical standpoint, we describe novel findings in static and multi-stage decision making, the connection with stochastic optimization, distributional robustness and robust nonlinear optimization. In terms of application areas, we consider inventory and logistics, finance, revenue management and health care. We conclude with guidelines for researchers interested in immunizing their problem against uncertainty.

Keywords: Robust Optimization; Chance Constraint; Coherent Risk Measure; Robust Counterpart; Newsvendor Problem (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-33121-8_5

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DOI: 10.1007/978-3-319-33121-8_5

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