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Multi-stage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set

Postek, Krzysztof Stanisław; Hertog, Dirk den - 2014

Persistent link: https://www.econbiz.de/10011283891

Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set

Postek, Kryzsztof; Hertog, Dirk den - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 553-574

Persistent link: https://www.econbiz.de/10011539037

Optimal monetary policy under model uncertainty without commitment

Orlik, Anna; Presno, Ignacio - 2013 - This version: October 27, 2013

This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...

Persistent link: https://www.econbiz.de/10010240307

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 way as confidence sets if the uncertain parameters...

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

Robust Portfolio Selection Involving Options Under a 'Marginal Joint' Ellipsoidal Uncertainty Set

Ling, Aifan - 2012

In typical robust portfolio selection problems, one mainly finds portfolios with the worst-case return under a given uncertainty set, in which asset returns can be realized. A too large uncertainty set will lead to a too conservative robust portfolio. However, if the given uncertainty set is not...

Persistent link: https://www.econbiz.de/10013108866

When are Static and Adjustable Robust Optimization with Constraint-Wise Uncertainty Equivalent?

Marandi, Ahmadreza - 2015

Adjustable Robust Optimization (ARO) yields, in general, better worst-case solutions than static Robust Optimization …-case objective values of ARO and RO problems are equal. We prove that if the uncertainty is constraint-wise and the adjustable … respect to the adjustable variables and concave with respect to the parameters defining constraint-wise uncertainty …

Persistent link: https://www.econbiz.de/10013014822

Insights into Robust Portfolio Optimization : Decomposing Robust Portfolios into Mean-Variance and Risk-Based Portfolios

Perchet, Romain - 2015

For a number of different formulations of robust portfolio optimization, quadratic and absolute, we show that a) in the limit of low uncertainty in estimated asset mean returns the robust portfolio converges towards the mean-variance portfolio obtained with the same inputs; and b) in the limit...

Persistent link: https://www.econbiz.de/10013015830

Multi-Stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set

Postek, Krzysztof - 2016

In this paper we propose a methodology for constructing decision rules for integer and continuous decision variables in …

Persistent link: https://www.econbiz.de/10013005868

Robust Multidimensional Pricing : Separation Without Regret

Koçyiğit, Çağıl - 2020

We study a robust monopoly pricing problem with a minimax regret objective, where a seller endeavors to sell multiple goods to a single buyer, only knowing that the buyer's values for the goods range over a rectangular uncertainty set. We interpret this pricing problem as a zero-sum game between...

Persistent link: https://www.econbiz.de/10012851783

Environmental Policy Under Model Uncertainty : A Robust Optimal Control Approach

Funke, Michael; Paetz, Michael - 2021

Model uncertainty is inherent in the design of optimal environmental policy. We investigate the consequences in a simple linear model, where the aim of the policymaker is to stabilize the carbon content of the atmosphere. We study how decision-makers' concerns about robustness alter policy using...

Persistent link: https://www.econbiz.de/10013317181

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