Abstract
Original language  English 

Qualification  Doctor of Philosophy 
Awarding Institution 

Supervisors/Advisors 

Award date  2 Sep 2014 
Place of Publication  Tilburg 
Publisher  
Print ISBNs  9789056683924 
Publication status  Published  2 Sep 2014 
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Robust optimization methods for chance constrained, simulationbased, and bilevel problems. / Yanikoglu, I.
Tilburg : CentER, Center for Economic Research, 2014. 161 p.Research output: Thesis › Doctoral Thesis › Scientific
TY  THES
T1  Robust optimization methods for chance constrained, simulationbased, and bilevel problems
AU  Yanikoglu, I.
PY  2014/9/2
Y1  2014/9/2
N2  The objective of robust optimization is to find solutions that are immune to the uncertainty of the parameters in a mathematical optimization problem. It requires that the constraints of a given problem should be satisfied for all realizations of the uncertain parameters in a socalled uncertainty set. The robust version of a mathematical optimization problem is generally referred to as the robust counterpart problem. Robust optimization is popular because of the computational tractability of the robust counterpart for many classes of uncertainty sets, and its applicability in wide range of topics in practice. In this thesis, we propose robust optimization methodologies for different classes of optimization problems. In Chapter 2, we give a practical guide on robust optimization. In Chapter 3, we propose a new way to construct uncertainty sets for robust optimization using the available historical data information. Chapter 4 proposes a robust optimization approach for simulationbased optimization problems. Finally, Chapter 5 proposes approximations of a specific class of robust and stochastic bilevel optimization problems by using modern robust optimization techniques.
AB  The objective of robust optimization is to find solutions that are immune to the uncertainty of the parameters in a mathematical optimization problem. It requires that the constraints of a given problem should be satisfied for all realizations of the uncertain parameters in a socalled uncertainty set. The robust version of a mathematical optimization problem is generally referred to as the robust counterpart problem. Robust optimization is popular because of the computational tractability of the robust counterpart for many classes of uncertainty sets, and its applicability in wide range of topics in practice. In this thesis, we propose robust optimization methodologies for different classes of optimization problems. In Chapter 2, we give a practical guide on robust optimization. In Chapter 3, we propose a new way to construct uncertainty sets for robust optimization using the available historical data information. Chapter 4 proposes a robust optimization approach for simulationbased optimization problems. Finally, Chapter 5 proposes approximations of a specific class of robust and stochastic bilevel optimization problems by using modern robust optimization techniques.
M3  Doctoral Thesis
SN  9789056683924
T3  CentER Dissertation Series
PB  CentER, Center for Economic Research
CY  Tilburg
ER 