8 citations · 8 across the 6 of their papers we have counts for
4 papers · 1 filter
Constructing Uncertainty Sets for Robust Risk Measures: A Composition of -Divergences Approach to Combat Tail Uncertainty
Guanyu Jin, Roger J. A. Laeven, Dick den Hertog +1
Risk measures, which typically evaluate the impact of extreme losses, are highly sensitive to misspecification in the tails. This paper studies a robust optimization approach to co…
Extending the Scope of Robust Quadratic Optimization
Ahmadreza Marandi, Aharon Ben-Tal, Dick den Hertog +1
We derive computationally tractable formulations of the robust counterparts of convex quadratic and conic quadratic constraints that are concave in matrix-valued uncertain paramete…
A Tractable Approach for designing Piecewise Affine Policies in Two-stage Adjustable Robust Optimization
Aharon Ben-Tal, Omar El Housni, Vineet Goyal
We consider the problem of designing piecewise affine policies for two-stage adjustable robust linear optimization problems under right-hand side uncertainty. It is well known that…
Oracle-Based Robust Optimization via Online Learning
Aharon Ben-Tal, Elad Hazan, Tomer Koren +1
Robust optimization is a common framework in optimization under uncertainty when the problem parameters are not known, but it is rather known that the parameters belong to some giv…