For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single and multiple period settings. We show that the problem of finding the “most robust” profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe … Read more
We study multi-period nonlinear optimization problems whose parameters are uncertain. We assume that uncertain parameters are revealed in stages and model them using the adjustable robust optimization approach. For problems with polytopic uncertainty, we show that quasi-convexity of the optimal value function of certain subproblems is sufficient for the reducibility of the resulting robust optimization … Read more
In this paper we present a methodology to decide capacity expansions for a transit network that finds a robust solution with respect to the uncertainty in demands and travel times. We show that solving for a robust solution is a computationally tractable problem under conditions that are reasonable for a transportation system. For example, the … Read more
Linear programming problems with fuzzy coefficients in the objective function are considered. Emphasis is on the dependence of the optimal solution from linear perturbations of the membership functions of the objective function coefficients as well as on the computation of a robust solution of the fuzzy linear problem if the membership functions are not surely … Read more
We describe strong mixed-integer programming formulations for robust mixed 0-1 programming with uncertainty in the objective coefficients. In particular, we focus on an objective uncertainty set described as a polytope with a budget constraint. We show that for a robust 0-1 problem, there is a tight linear programming formulation with size polynomial in the size … Read more
In this paper we study several issues related to the characterization of specific classes of multivariate quadratic mappings that are nonnegative over a given domain, with nonnegativity defined by a pre-specified conic order. In particular, we consider the set (cone) of nonnegative quadratic mappings defined with respect to the positive semidefinite matrix cone, and study … Read more
Based on the recent approach of Bertsimas and Sim \cite{bs1, bs2} to robust optimization in the presence of data uncertainty, we prove a bound on the probability that the robust solution gives an objective function value worse than the robust objective function value, under the assumption that only cost coefficients are subject to uncertainty. A … Read more
This paper considers robust optimization to cope with uncertainty about the stock return process in one period portfolio selection problems involving options. The ro- bust approach relates portfolio choice to uncertainty, making more cautious portfolios when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlyings and show that … Read more
In this paper, we consider a continuous version of the convex network flow problem which involves the integral of the Euclidean norm of the flow and its square in the objective function. A discretized version of this problem can be cast as a second-order cone program, for which efficient primal-dual interior-point algorithms have been developed … Read more
Given a real function on a Euclidean space, we consider its “robust regularization”: the value of this new function at any given point is the maximum value of the original function in a fixed neighbourhood of the point in question. This construction allows us to impose constraints in an optimization problem *robustly*, safeguarding a constraint … Read more