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A survey of adjustable robust optimization

İhsan Yanıkoğlu, Bram L. Gorissen and Dick den Hertog

European Journal of Operational Research, 2019, vol. 277, issue 3, 799-813

Abstract: Static robust optimization (RO) is a methodology to solve mathematical optimization problems with uncertain data. The objective of static RO is to find solutions that are immune to all perturbations of the data in a so-called uncertainty set. RO is popular because it is a computationally tractable methodology and has a wide range of applications in practice. Adjustable robust optimization (ARO), on the other hand, is a branch of RO where some of the decision variables can be adjusted after some portion of the uncertain data reveals itself. ARO generally yields a better objective function value than that in static robust optimization because it gives rise to more flexible adjustable (or wait-and-see) decisions. Additionally, ARO also has many real life applications and is a computationally tractable methodology for many parameterized adjustable decision variables and uncertainty sets. This paper surveys the state-of-the-art literature on applications and theoretical/methodological aspects of ARO. Moreover, it provides a tutorial and a road map to guide researchers and practitioners on how to apply ARO methods, as well as, the advantages and limitations of the associated methods.

Keywords: Semi-infinite programming; Robust optimization; Adjustable robust optimization; Multistage decision making (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:277:y:2019:i:3:p:799-813

DOI: 10.1016/j.ejor.2018.08.031

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