Robust Optimization

The Robust Shortest Path Problem with Interval Data

  • Oya Ekin Karasan
  • Mustafa C. Pinar
  • Hande Yaman
    • Categories Network Optimization, Robust Optimization, Telecommunications Tags , , ,

    Motivated by telecommunication applications, we investigate the shortest path problem on directed acyclic graphs under arc length uncertainties represented as interval numbers. Using a minimax-regret criterion we define and identify robust paths via mixed-integer programming and exploiting interesting structural properties of the problem. Citation Bilkent University, Department of Industrial Engineering, Technical Report August 2001 Article … Read more

    Adaptive Simulated Annealing (ASA)

  • Lester Ingber
    • Categories Optimization Software and Modeling Systems, Robust Optimization, Stochastic Approaches Tags

    Adaptive Simulated Annealing (ASA) is a C-language code developed to statistically find the best global fit of a nonlinear constrained non-convex cost-function over a D-dimensional space. Citation %A L. Ingber %R Global optimization C-code %I Caltech Alumni Association %C Pasadena, CA %T Adaptive Simulated Annealing (ASA) %D 1993 %K 200701 %L Ingber:1993:CODE-ASA %O URL http://www.ingber.com/#ASA-CODE … Read more

    On Robust Optimization of Two-Stage Systems

  • Shabbir Ahmed
  • Samer Takriti
    • Categories Convex Optimization, Robust Optimization, Stochastic Programming Tags , ,

    Robust optimization extends stochastic programming models by incorporating measures of variability into the objective function. This paper explores robust optimization in the context of two-stage planning systems. First, we propose the use of a generalized Benders decomposition algorithm for solving robust models. Next, we argue that using an arbitrary measure for variability can lead to … Read more

    Minimum Risk Arbitrage with Risky Financial Contracts

  • Mustafa C. Pinar
    • Categories Finance and Economics, Robust Optimization, Second-Order Cone Programming Tags , , , ,

    For a set of financial securities specified by their expected returns and variance/covariances we propose the concept of minimum risk arbitrage, characterize conditions under which such opportunities may exist. We use conic duality and convex analysis to derive these characterizations. For practical computation a decidability result on the existence of an arbitrage opportunity is derived. … Read more