Multipolar robust optimization

Walid Ben-Ameur, Adam Ouorou, Guanglei Wang () and Mateusz Żotkiewicz
Additional contact information
Walid Ben-Ameur: Université Paris-Saclay
Adam Ouorou: Orange Labs Research
Guanglei Wang: Université Paris-Saclay
Mateusz Żotkiewicz: Warsaw University of Technology

EURO Journal on Computational Optimization, 2018, vol. 6, issue 4, No 4, 395-434

Abstract: Abstract We consider linear programs involving uncertain parameters and propose a new tractable robust counterpart which contains and generalizes several other models including the existing Affinely Adjustable Robust Counterpart and the Fully Adjustable Robust Counterpart. It consists in selecting a set of poles whose convex hull contains some projection of the uncertainty set, and computing a recourse strategy for each data scenario as a convex combination of some optimized recourses (one for each pole). We show that the proposed multipolar robust counterpart is tractable and its complexity is controllable. Further, we show that under some mild assumptions, two sequences of upper and lower bounds converge to the optimal value of the fully adjustable robust counterpart. We numerically investigate a couple of applications in the literature demonstrating that the approach can effectively improve the affinely adjustable policy.

Keywords: Uncertainty; Robust optimization; Multistage optimization; Polyhedral approximation; 90C99 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s13675-017-0092-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurjco:v:6:y:2018:i:4:d:10.1007_s13675-017-0092-4

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/13675

DOI: 10.1007/s13675-017-0092-4

Access Statistics for this article

EURO Journal on Computational Optimization is currently edited by Martine C. Labbé

More articles in EURO Journal on Computational Optimization from Springer, EURO - The Association of European Operational Research Societies
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().