Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. Popular risk measures such as variance and value-at-risk have been found inadequate as we now give more importance to properties such as monotonicity, convexity, translation invariance, scale invariance, and law invariance. Unfortunately, the … Read more

The Value of Flexibility in Robust Location-Transportation Problems

This article studies a multi-period capacitated fixed-charge location-transportation problem in which, while the location and capacity of each facility need to be determined immediately, the determination of final production and distribution of products can be delayed until actual orders are received in each period. In contexts where little is known about future demand, robust optimization, … Read more

Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems

Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and ease of resolution even for large scale models. Unfortunately, the second property is usually lost when the cost function that needs to be robustified is not concave … Read more

Decision Making under Uncertainty when Preference Information is Incomplete

We consider the problem of optimal decision making under uncertainty but assume that the decision maker’s utility function is not completely known. Instead, we consider all the utilities that meet some criteria, such as preferring certain lotteries over certain other lotteries and being risk averse, s-shaped, or prudent. This extends the notion of stochastic dominance. … Read more