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Deriving robust and globalized robust solutions of uncertain linear programs with general convex uncertainty sets

Gorissen, Bram L.; Blanc, J. P.; Hertog, Dirk den; … - In: Operations research 62 (2014) 3, pp. 672-679

Persistent link: https://www.econbiz.de/10010381843

Exact robust counterparts of ambiguous stochastic constraints under mean and dispersion information

Postek, Krzysztof Stanisław; Ben-Tal, Aharon; Hertog, … - 2015

Persistent link: https://www.econbiz.de/10011350018

Robust optimization with ambiguous stochastic constraints under mean and dispersion information

Postek, Krzysztof Stanisław; Ben-Tal, Aharon; Hertog, … - In: Operations research 66 (2018) 3, pp. 814-833

Persistent link: https://www.econbiz.de/10011884312

Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information

Postek, Krzysztof; Ben-Tal, Aharon; den Hertog, Dick; … - 2015

In this paper we consider ambiguous stochastic constraints under partial information consisting of means and dispersion measures of the underlying random parameters. Whereas the past literature used the variance as the dispersion measure, here we use the mean absolute deviation from the mean...

Persistent link: https://www.econbiz.de/10014135273

An old-new concept of convex risk measures : the optimized certainty equivalent

Ben-Tal, Aharon; Teboulle, Marc - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 449-476

Persistent link: https://www.econbiz.de/10003626576

Robust Solutions of Optimization Problems Affected by Uncertain Probabilities

Ben-Tal, Aharon - 2011

In this paper we focus on robust linear optimization problems with uncertainty regions defined by ø-divergences (for … example, chi-squared, Hellinger, Kullback-Leibler). We show how uncertainty regions based on ø-divergences arise in a natural …-divergence uncertainty is tractable for most of the choices of ø typically considered in the literature. We extend the results to problems …

Persistent link: https://www.econbiz.de/10013124587

On the average performance of the adjustable RO and its use as an offline tool for multi-period production planning under uncertainty

Melamed, Michal; Ben-Tal, Aharon; Golany, Boaz - In: Computational Management Science : CMS 13 (2016) 2, pp. 293-315

Persistent link: https://www.econbiz.de/10011669292

Robust optimization of uncertain multistage inventory systems with inexact data in decision rules

Ruiter, Frans de; Ben-Tal, Aharon; Brekelmans, Ruud C. M.; … - In: Computational Management Science : CMS 14 (2017) 1, pp. 45-66

Persistent link: https://www.econbiz.de/10011710326

Robust solutions of optimization problems affected by uncertain probabilities

Ben-Tal, Aharon; Hertog, Dirk den; De Waegenaere, Anja; … - In: Management science : journal of the Institute for … 59 (2013) 2, pp. 341-357

Persistent link: https://www.econbiz.de/10009713913

Extending the scope of robust quadratic optimization

Marandi, Ahmadreza; Ben-Tal, Aharon; Hertog, Dirk den; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 211-226

Persistent link: https://www.econbiz.de/10013358924