Theory and applications of robust optimization

Journal Article (Review;Journal)

In this paper we survey the primary research, both theoretical and applied, in the area of robust optimization (RO). Our focus is on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying prominent theoretical results of RO, we also present some recent results linking RO to adaptable models for multistage decision-making problems. Finally, we highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering. © 2011 Society for Industrial and Applied Mathematics.

Full Text

Duke Authors

Cited Authors

  • Bertsimas, D; Brown, DB; Caramanis, C

Published Date

  • December 1, 2011

Published In

Volume / Issue

  • 53 / 3

Start / End Page

  • 464 - 501

International Standard Serial Number (ISSN)

  • 0036-1445

Digital Object Identifier (DOI)

  • 10.1137/080734510

Citation Source

  • Scopus