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A Single-Stage Approach to Anscombe and Aumann's Expected Utility

Sarin, R.; Wakker, P.P. - Tilburg University, Center for Economic Research - 1996

Persistent link: https://www.econbiz.de/10011092812

Robust Optimization in Simulation : Taguchi and Krige Combined

Kleijnen, Jack P.C.; Dellino, G.; Meloni, C. - Tilburg University, Center for Economic Research - 2009

Optimization of simulated systems is the goal of many methods, but most methods as- sume known environments. We, however, develop a `robust' methodology that accounts for uncertain environments. Our methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques...

Persistent link: https://www.econbiz.de/10011091537

Tractable Counterparts of Distributionally Robust Constraints on Risk Measures

Den Hertog, Dick; Melenberg, Bertrand; Postek, K.S. - Tilburg University, Center for Economic Research - 2014

In this paper we study distributionally robust constraints on risk measures (such<br/>as standard deviation less the … mean, Conditional Value-at-Risk, Entropic Value-at-Risk) of decision-dependent random variables. The uncertainty sets for … counterpart can be split into two parts: one corresponding to the risk measure and the other to the uncertainty set. We also show …

Persistent link: https://www.econbiz.de/10011144445

Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set

Den Hertog, Dick; Postek, K.S. - Tilburg University, Center for Economic Research - 2014

In this paper we propose a methodology for constructing decision rules for in-<br/>teger and continuous decision variables in multiperiod robust linear optimization<br/>problems. This type of problems finds application in, for example, inventory management, lot sizing, and manpower management. We show...

Persistent link: https://www.econbiz.de/10011144453

A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets

Blanc, Hans; Den Hertog, Dick; Gorissen, B.L.; Ben-Tal, A. - Tilburg University, Center for Economic Research - 2012

Abstract: We propose a new way to derive tractable robust counterparts of a linear conic optimization problem by using the theory of Beck and Ben-Tal [2] on the duality between the robust (“pessimistic”) primal problem and its “optimistic” dual. First, we obtain a new convex...

Persistent link: https://www.econbiz.de/10011092630

Robust Counterparts of Inequalities Containing Sums of Maxima of Linear Functions

Den Hertog, Dick; Gorissen, B.L. - Tilburg University, Center for Economic Research - 2011

This paper adresses 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...

Persistent link: https://www.econbiz.de/10011090345

Adjustable Robust Parameter Design with Unknown Distributions

Den Hertog, Dick; Kleijnen, Jack P.C.; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2013

Abstract This article presents a novel combination of robust optimization developed in mathematical programming, and robust parameter design developed in statistical quality control. Robust parameter design uses metamodels estimated from experiments with both controllable and environmental...

Persistent link: https://www.econbiz.de/10011091050

Immunizing Conic Quadratic Optimization Problems Against Implementation Errors

Den Hertog, Dick; Ben-Tal, A. - Tilburg University, Center for Economic Research - 2011

We show that the robust counterpart of a convex quadratic constraint with ellipsoidal implementation error is equivalent to a system of conic quadratic constraints. To prove this result we first derive a sharper result for the S-lemma in case the two matrices involved can be simultaneously...

Persistent link: https://www.econbiz.de/10011091391

Deriving Robust Counterparts of Nonlinear Uncertain Inequalities

Den Hertog, Dick; Ben-Tal, A.; Vial, J.P. - Tilburg University, Center for Economic Research - 2012

Abstract: In this paper we provide a systematic way to construct the robust counterpart of a nonlinear uncertain inequality that is concave in the uncertain parameters. We use convex analysis (support functions, conjugate functions, Fenchel duality) and conic duality in order to convert the...

Persistent link: https://www.econbiz.de/10011091964

Hints for practical robust optimization

Den Hertog, Dick; Gorissen, B.L.; Yanikoglu, I. - Tilburg University, Center for Economic Research - 2013

Abstract: Robust optimization (RO) is a young and active research field that has been mainly developed in the last 15 years. RO techniques are very useful for practice and not difficult to understand for practitioners. It is therefore remarkable that real-life applications of RO are still...

Persistent link: https://www.econbiz.de/10011091982