Ben-Tal, Aharon; Hertog, Dick den; Waegenaere, Anja De; … - In: Management Science 59 (2013) 2, pp. 341-357
In this paper we focus on robust linear optimization problems with uncertainty regions defined by [phi]-divergences (for example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on [phi]-divergences arise in a natural way as confidence sets if the uncertain...