Hints for Practical Robust Optimization

Posted: 30 Nov 2013

See all articles by Bram Gorissen

Bram Gorissen

Tilburg University - Tilburg University School of Economics and Management

Ihsan Yanikoglu

Tilburg University - Department of Econometrics & Operations Research

Dick den Hertog

Tilburg University - Department of Econometrics & Operations Research

Date Written: November 11, 2013

Abstract

Robust optimization (RO) is a young and active research field that has been mainly developed in the last 15 years. RO techniques are very useful for practice and not difficult to understand for practitioners. It is therefore remarkable that real-life applications of RO are still lagging behind; there is much more potential for real-life applications than has been exploited hitherto. The aim of this paper is to help practitioners to successfully apply RO in practice. We pinpoint several important items that may be helpful for successfully applying RO. We use many small examples to illustrate our discussions.

Keywords: robust optimization, adjustable robust optimization

JEL Classification: C00, C15, C44, C61, C63

Suggested Citation

Gorissen, Bram and Yanikoglu, Ihsan and den Hertog, Dick, Hints for Practical Robust Optimization (November 11, 2013). European Banking CentER Discussion Paper No. 2013-065. Available at SSRN: https://ssrn.com/abstract=2361396 or http://dx.doi.org/10.2139/ssrn.2361396

Bram Gorissen

Tilburg University - Tilburg University School of Economics and Management ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

Ihsan Yanikoglu (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

Dick Den Hertog

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands

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