IJPAM: Volume 74, No. 1 (2012)

AN BRIEF INTRODUCTION TO
ROBUST OPTIMIZATION APPROACH

Hong-Xia Yu$^1$, Li Jin$^2$
$^1$School of Mathematics and Pyhsics
University of Shanghai Electric Power
No. 28, Xue Hai Road, 201300, Shanghai, P.R. CHINA
$^2$School of Mathematics, Physics and Information Science
Zhejiang Ocean University
Zhoushan, 316004, P.R. CHINA


Abstract. In this paper, we firstly give a brief introduction to robust optimization, a more recent approach to optimization under uncertainty. Then we compare it to the other two classical methods for treating uncertain problem, sensitivity analysis and stochastic optimization.

Received: October 22, 2011

AMS Subject Classification: 90C30, 90C90

Key Words and Phrases: robust optimization, sensitivity analysis, stochastic optimization

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Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2012
Volume: 74
Issue: 1