Adjustable robust counterpart of conic quadratic problems

Odellia Boni () and Aharon Ben-Tal

Mathematical Methods of Operations Research, 2008, vol. 68, issue 2, 233 pages

Abstract: This paper presents an approximate affinely adjustable robust counterpart for conic quadratic constraints. The theory is applied to obtain robust solutions to the problems of subway route design with implementation errors and a supply chain management with uncertain demands. Comparison of the adjustable solutions with the nominal and non-adjustable robust solutions shows that the adjustable (dynamic) robust solution maintains feasibility for all possible realizations, while being less conservative than the usual (static) robust counterpart solution. Copyright Springer-Verlag 2008

Keywords: Robust optimization; Adjustable variables; Conic quadratic programming; Second order cone programming; Flexible commitments contracts (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/s00186-008-0218-9

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