Robust solutions of uncertain linear programs

Ben-Tal, 1985, The entropic penalty approach to stochastic programming, Math. Oper. Res, 10, 263, 10.1287/moor.10.2.263

Ben-Tal, 1997, Robust truss topology design via semidefinite programming, SIAM J. Optim, 7, 991, 10.1137/S1052623495291951

Ben-Tal, 1998, Robust convex optimization, Math. Oper. Res, 23, 769, 10.1287/moor.23.4.769

Ben-Tal, 1997, Penalty/barrier multiplier methods for convex programming problems, SIAM J. Optim, 7, 347, 10.1137/S1052623493259215

A. Ben-Tal, T. Margelit, A. Nemirovski, Robust modeling of multi-stage portfolio problems, in: Proc. Workshop on High-Performance Optimization, S. Zhang (Ed.), Rotterdam, August 1997, Kluwer Academic Press, Dordrecht, to appear, 1999.

J.R. Birge, F. Louveaux, Introduction to Stochasatic Programming, Springer, Berlin, 1997.

J.E. Falk, Exact solutions to inexact linear programs, Oper. Res. 1976, 783–787.

M. Grötschel, L. Lovasz, A. Schrijver, The Ellipsoid Method and Combinatorial Optimization, Springer, Heidelberg, 1988.

P. Kall, S.W. Wallace, Stochastic Programming, Wiley-Interscience, New York, 1994.

H.M. Markovitz, Portfolio Selection: Efficiency Diversification of Investment, Wiley, New York, 1959.

Mulvey, 1995, Robust optimization of large-scale systems, Oper. Res, 43, 264, 10.1287/opre.43.2.264

Yu. Nesterov, A. Nemirovski, Interior Point Polynomial Algorithms in Convex Programming, SIAM Studies in Applied Mathematics, SIAM, Philadelphia, 1994.

A. Prékopa, Stochastic Programming, Kluwer Academic Publishers, Dordrecht, 1995.

Rockafellar, 1991, Scenarios and policy aggregation in optimization under uncertainty, Math. Oper. Res, 16, 119, 10.1287/moor.16.1.119

Singh, 1982, Convex programming with set-inclusive constraints and its applications to generalized linear and fractional programming, J. Optim. Theory Appl, 38, 33, 10.1007/BF00934321

A.L. Soyster, Convex programming with set-inclusive constraints and applications to inexact linear programming, Oper. Res. 1973, 1154–1157.

K. Zhou, J.C. Doyle, K. Glover, Robust and Optimal Control, Prentice-Hall, Englewood Cliffs, NJ, 1996.