Lexicographic alpha-robustness: an alternative to min-max criteria

Rim Kalai-Jemai, Claude Lamboray and Daniel Vanderpooten
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Rim Kalai-Jemai: Pôle Customer, Retail and Supply Chain - Rouen Business School - Rouen Business School
Claude Lamboray: Service de Mathematiques appliquée - uni.lu - Université du Luxembourg = University of Luxembourg = Universität Luxemburg
Daniel Vanderpooten: LAMSADE - Laboratoire d'analyse et modélisation de systèmes pour l'aide à la décision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: Robustness in Operations Research/Decision Aid is often associated with min-max and min-max regret criteria. This common approach to determine robust solutions consists in finding a solution which minimizes the maximal cost or regret. Nevertheless, these criteria are known to be too conservative. In this paper, we present and study a new robustness approach, called lexicographic α-robustness, which compensates for this major drawback and many others. Furthermore, we establish a link between lexicographic α-robustness and a third robustness approach called p-robustness.

Date: 2012
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Published in European Journal of Operational Research, 2012, Vol. 220 (n° 3), pp 722-728

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00809571

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