Robust Optimization¶
Ben-Tal, A., El Ghaoui, L., & Nemirovski, A. (2009). Robust Optimization. Princeton University Press.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Mechanisms¶
- Portfolio Allocation Model
- This is the province of robust optimization, where the value of the answer depends entirely on how honestly the uncertainty set is drawn.
This sourceFrames the problem as robust optimization under explicitly modeled uncertainty sets.
- This is the province of robust optimization, where the value of the answer depends entirely on how honestly the uncertainty set is drawn.
Verification¶
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Registry ID ref:fb64eb93848a · see in the full table