Theory and Applications of Robust Optimization

  title={Theory and Applications of Robust Optimization},
  author={Dimitris Bertsimas and David B. Brown and Constantine Caramanis},
In this paper we survey the primary research, both theoretical and applied, in the area of Robust Optimization (RO). Our focus will be on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying the most prominent theoretical results of RO over the past decade, we will also present some recent results linking RO to adaptable models for multi-stage decision-making problems. Finally, we will highlight… CONTINUE READING
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