Robust and Adaptive Optimization

Dimitris Bertsimas and Dick Den Hertog, Robust and Adaptive Optimization, Dynamic Ideas, 2022.

The purpose of this book is to provide a unified, insightful, and original treatment of robust and adaptive optimization.

Part I describes linear RO and the underlying uncertainty sets.

Part II treats modeling, exact and approximate algorithms for ARO.

Part III introduces nonlinear RO for concave uncertainty.

Part IV outlines nonlinear RO for convex uncertainty.

Part V discusses the theory of distributionally RO and ARO.

Part VI contains a variety of RO and ARO applications including queueing theory, auction design, option pricing and energy unit commitment.

對於大學部學生，也可以參考此入門文章

Dimitris Bertsimas and Aurélie Thiele. Robust and Data-Driven Optimization: Modern Decision Making Under Uncertainty. In INFORMS TutORials in Operations Research. Published online: 14 Oct 2014; 95-122. https://doi.org/10.1287/educ.1063.0022