Long, Daniel Zhuoyu; Sim, Melvyn; Zhou, Minglong - 2022
We present a general framework for data-driven optimization called robustness optimization that favors solutions for … deviates from the empirical distribution. Unlike robust optimization approaches, the decision maker does not have to size the … ambiguity set, but specifies an acceptable target, or loss of optimality compared to the empirical optimization model, as a …