ellipsoidal uncertainty sets

Gamma-Robust Linear Complementarity Problems with Ellipsoidal Uncertainty Sets

  • Vanessa Krebs
  • Martin Schmidt
  • Michael Müller
    • Categories Complementarity and Variational Inequalities, Robust Optimization, Transportation Tags , , ,

    We study uncertain linear complementarity problems (LCPs), i.e., problems in which the LCP vector q or the LCP matrix M may contain uncertain parameters. To this end, we use the concept of Gamma-robust optimization applied to the gap function formulation of the LCP. Thus, this work builds upon [16]. There, we studied Gamma-robustified LCPs for … Read more

    Polymatroids and Mean-Risk Minimization in Discrete Optimization

  • Alper Atamturk
  • Vishnu Narayanan
    • Categories (Mixed) Integer Nonlinear Programming, Graphs and Matroids, Integer Programming Tags , , ,

    In financial markets high levels of risk are associated with large returns as well as large losses, whereas with lower levels of risk, the potential for either return or loss is small. Therefore, risk management is fundamentally concerned with finding an optimal trade-off between risk and return matching an investor’s risk tolerance. Managing risk is … Read more