Robust Optimization

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