Theory and Applications of Robust Optimization

Authors:
Dimitris Bertsimas;David B. Brown;Constantine Caramanis
Affiliations:
dbertsim@mit.edu;dbbrown@duke.edu;caramanis@mail.utexas.edu
Venue:
SIAM Review
Year:
2011

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Abstract

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.