This paper addresses the robust counterparts of optimization problems containing sums of maxima of linear functions and proposes several reformulations. These problems include many practical problems, e.g. problems with sums of absolute values, and arise when taking the robust counterpart of a...

We propose using the well-known conditional value at risk (CVaR) risk measure as a new methodology for incorporating robustness into portfolio optimization. Robustness in portfolio optimization can address the poor out-of-sample performance of the classical mean-variance optimization problems....

General upgrading is a strategy that a firm can upgrade a customer with any higher-end product whenever a lower-end product is out-of-stock. In this paper, we consider the capacity planning problem to decide the initial capacity for multiple products to maximize the expected total profit when...

This work studies a Robust Multi-product Newsvendor Model with Substitution (R-MNMS), where the demand and the substitution rates are stochastic and are subject to cardinality-constrained uncertainty sets. The goal of this work is to determine the optimal order quantities of multiple products to...

In this paper, we identify partial correlation information structures that allow for simpler reformulations in evaluating the maximum expected value of mixed integer linear programs with random objective coefficients. To this end, assuming only the knowledge of the mean and the covariance matrix...

Designing a production process normally is involved with some important constraints such as uncertainty, trade-off between production costs and quality, customer’s expectations and production tolerances. In this paper, a novel multi-objective robust optimization model is introduced to...

Blocking is a useful technique to control systematic variation in experiments. Robust parameter design is widely used as an effective tool to reduce process variability by appropriate selection of control factors to make the process insensitive to noise. In this paper, we propose and study a...