Invited Speaker – Aharon Ben-Tal

Ben-Tal picture
Aharon Ben-Tal

Technion – Israel Institute of Technology
Haifa, Israel



Title: Robust Solutions of Uncertain Optimization Problems Under Ambiguous Stochastic Data

Author(s): Aharon Ben-Tal

Abstract: We show how robust optimization (RO) can provide tractable, safe approximation to probabilistic constraints (chance constraints) even under partial information (ambiguity) on the random parameters.
In particular, we address the case where the only available information is on means and dispersion measures.  Unlike previous attempts where the dispersion measure is the variance, here we derive tight approximations when the dispersion measure is the MAD (mean absolute deviation).  The theory is applied to problems in portfolio selection, inventory management and antenna array design.