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math.OC2024
Problem-Driven Scenario Reduction and Scenario Approximation for Robust Optimization
Jamie Fairbrother, Marc Goerigk, Mohammad Khosravi
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is…
math.OC2024
An extension of Ordered Weighted Averaging over intervals with application to optimization under risk
Werner Baak, Marc Goerigk, Adam Kasperski +1
The Ordered Weighted Averaging (OWA) operator is a traditional and commonly used criterion for aggregating discrete values of uncertain quantities. In this paper, it is shown that…