Scenario relaxation algorithm for finite scenario-based min–max regret and min–max relative regret robust optimization

Tiravat Assavapokee; Matthew J. Realff; Jane C. Ammons; I‐Hsuan Hong

doi:10.1016/j.cor.2006.10.013

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Scenario relaxation algorithm for finite scenario-based min–max regret and min–max relative regret robust optimization

Tiravat Assavapokee Matthew J. Realff Jane C. Ammons I‐Hsuan Hong

Year: 2006 Journal: Computers & Operations Research Vol: 35 (6)Pages: 2093-2102 Publisher: Elsevier BV

DOI: 10.1016/j.cor.2006.10.013

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Keywords:

Regret Mathematical optimization Robust optimization Ambiguity Linear programming Relaxation (psychology) Mathematics Stochastic programming Key (lock) Optimal decision Computer science Algorithm Decision tree Data mining Statistics

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Risk and Portfolio Optimization

Social Sciences → Decision Sciences → Management Science and Operations Research

Optimization and Mathematical Programming

Physical Sciences → Engineering → Control and Systems Engineering

Water resources management and optimization

Physical Sciences → Engineering → Ocean Engineering

Scenario relaxation algorithm for finite scenario-based min–max regret and min–max relative regret robust optimization

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