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- Publications
- Influence

The Price of Robustness

- D. Bertsimas, Melvyn Sim
- Mathematics, Computer Science
- Oper. Res.
- 2004

A robust approach to solving linear optimization problems with uncertain data was proposed in the early 1970s and has recently been extensively studied and extended. Under this approach, we are… Expand

Robust discrete optimization and network flows

- D. Bertsimas, Melvyn Sim
- Mathematics, Computer Science
- Math. Program.
- 7 May 2003

Abstract.We propose an approach to address data uncertainty for discrete optimization and network flow problems that allows controlling the degree of conservatism of the solution, and is… Expand

Robust linear optimization under general norms

- D. Bertsimas, Dessislava Pachamanova, Melvyn Sim
- Mathematics, Computer Science
- Oper. Res. Lett.
- 1 November 2004

We explicitly characterize the robust counterpart of a linear programming problem with uncertainty set described by an arbitrary norm. Our approach encompasses several approaches from the literature… Expand

Distributionally Robust Convex Optimization

- W. Wiesemann, D. Kuhn, Melvyn Sim
- Mathematics, Computer Science
- Oper. Res.
- 1 December 2014

Distributionally robust optimization is a paradigm for decision making under uncertainty where the uncertain problem data are governed by a probability distribution that is itself subject to… Expand

Distributionally Robust Optimization and Its Tractable Approximations

- Joel Goh, Melvyn Sim
- Computer Science, Mathematics
- Oper. Res.
- 1 July 2010

In this paper we focus on a linear optimization problem with uncertainties, having expectations in the objective and in the set of constraints. We present a modular framework to obtain an approximate… Expand

Tractable Approximations to Robust Conic Optimization Problems

- D. Bertsimas, Melvyn Sim
- Mathematics, Computer Science
- Math. Program.
- 15 June 2006

In earlier proposals, the robust counterpart of conic optimization problems exhibits a lateral increase in complexity, i.e., robust linear programming problems (LPs) become second order cone problems… Expand

A Robust Optimization Perspective on Stochastic Programming

- X. Chen, Melvyn Sim, P. Sun
- Mathematics, Computer Science
- Oper. Res.
- 1 November 2007

In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for random variables termed the forward and backward deviations. These… Expand

Risk Aversion in Inventory Management

- X. Chen, Melvyn Sim, D. Simchi-Levi, P. Sun
- Economics, Computer Science
- Oper. Res.
- 1 September 2007

Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost… Expand

From CVaR to Uncertainty Set: Implications in Joint Chance-Constrained Optimization

- Wenqing Chen, Melvyn Sim, J. Sun, C. Teo
- Computer Science, Mathematics
- Oper. Res.
- 1 March 2010

We review and develop different tractable approximations to individual chance-constrained problems in robust optimization on a variety of uncertainty sets and show their interesting connections with… Expand

Satisficing Measures for Analysis of Risky Positions

In this work we introduce a class of measures for evaluating the quality of financial positions based on their ability to achieve desired financial goals. In the spirit of Simon (Simon, H. A. 1959.… Expand