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Essays In Robust Optimization With Applications To Finance And Renewable Energy, Hao Jiang

Operations Research and Engineering Management Theses and Dissertations

Real-world optimization problems are often sensitive to uncertainties caused by estimation errors, forecasting inaccuracy, and imprecise data information. These uncertainties bring significant challenges to decision-making in many areas. Robust optimization (RO) is a tool for addressing the challenges of parameter uncertainty. In this dissertation, we focus on the studies of RO on two problems. (1) In the study of finance, we proposed a tractable RO model for a Mean-Variance portfolio selection problem. We consider Markowitz's Mean-Variance Optimization when stock returns are modeled using Sharpe's single-index framework, but the model coefficients Alpha and Beta, are not precisely known. This study assumes …