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Model Uncertainty, Robust Optimization, and Learning · Study

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ChapterModel Uncertainty, Robust Optimization, and Learning

Andrew E. B. Lim2006

Chapter2006

Model Uncertainty, Robust Optimization, and Learning

Andrew E. B. Lim · Jeyaveerasingam George Shanthikumar · Zuo‐Jun Max Shen

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Risk and Portfolio Optimization Advanced Control Systems Optimization Probabilistic and Robust Engineering Design

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References

1921Risk, Uncertainty and Profit 1961Risk, Ambiguity, and the Savage Axioms 2011Introduction to Stochastic Programming 2004The Price of Robustness 1998Robust Convex Optimization 2000Foundations of Inventory Management 1999Robust solutions of uncertain linear programs 2000Robust solutions of Linear Programming problems contaminated with uncertain data

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2021Calibration of Distributionally Robust Empirical Optimization Models 2015Robust Multiarmed Bandit Problems 2008Robust Multi-Product Pricing 2022Can accessing much data reshape the theory? Inventory theory under the challenge of data-driven systems 2014Analysis of seat allocation and overbooking decisions with hybrid information 2024Learning to Order for Inventory Systems with Lost Sales and Uncertain Supplies

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2024Robust optimization approaches in inventory management: Part A—the surveyarticle · 17 shared references 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literaturepreprint · 16 shared references 2011Theory and Applications of Robust Optimizationarticle · 14 shared references 2011Shadow Probability Theory for Asset Pricing under Ambiguitypreprint · 13 shared references 2014Volatility of Aggregate Volatility and Hedge Fund Returnsarticle · 12 shared references 2009Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversificationpreprint · 12 shared references

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Year2006

Typechapter

Published2006-09-01

Languageen

Citations58

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ShelfRisk and Portfolio Optimization

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doi10.1287/educ.1063.0021

openalex_workW208066780

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