Lifted polymatroid inequalities for mean-risk optimization with indicator variables

Robust solutions of Linear Programming problems contaminated with uncertain data

Aharon Ben‐Tal, Arkadi Nemirovski · Mathematical Programming · 2000 · 1.7K citations

Natural Sciences, Mathematics, Optimization +13

Submodular Functions, Matroids, and Certain Polyhedra.

Jack Edmonds · 2001 · 770 citations

Natural Sciences, Computer Science, Mathematics +11

Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Laurent El Ghaoui, Maksim Oks, François Oustry · Operations Research · 2003 · 690 citations

Business, Finance, Mathematics +17

Optimal Inequalities in Probability Theory: A Convex Optimization Approach

Dimitris Bertsimas, Ioana Popescu · SIAM Journal on Optimization · 2005 · 438 citations · Full text

Natural Sciences, Computer Science, Mathematics +14

Computational study of a family of mixed-integer quadratic programming problems

Daniel Bienstock · Mathematical Programming · 1996 · 425 citations

Natural Sciences, Computer Science, Mathematics +14