方法证据记录
Robust Optimization
Robust optimization is a mathematical programming framework, formalised by Ben-Tal and Nemirovski in the late 1990s and made broadly tractable by Bertsimas and Sim (2004), that finds decisions guaranteed to perform acceptably under every scenario within a predefined uncertainty set — rather than assuming parameter values are known exactly. Instead of optimising for a single expected outcome, it minimises the worst-case objective across all plausible realisations of uncertain data.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Robust Optimization (Minimax Programming)
分类方法记录 · process-pipeline / optimization
- Ben-Tal, A., El Ghaoui, L. & Nemirovski, A. (2009). Robust Optimization. Princeton University Press. · ISBN 9780691143682
- Bertsimas, D. & Sim, M. (2004). The Price of Robustness. Operations Research, 52(1), 35-53. · DOI 10.1287/opre.1030.0065
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