Tractable stochastic analysis in high dimensions via robust optimization

@article{Bandi2012TractableSA,
  title={Tractable stochastic analysis in high dimensions via robust optimization},
  author={Chaithanya Bandi and Dimitris Bertsimas},
  journal={Math. Program.},
  year={2012},
  volume={134},
  pages={23-70}
}
Modern probability theory, whose foundation is based on the axioms set forth by Kolmogorov, is currently the major tool for performance analysis in stochastic systems. While it offers insights in understanding such systems, probability theory, in contrast to optimization, has not been developed with computational tractability as an objective when the… CONTINUE READING