Linearized Robust Counterparts of Two-Stage Robust Optimization Problems with Applications in Operations Management
| Autor: | Amir Ardestani-Jaafari, Erick Delage |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Scheme (programming language)
Alternative methods Mathematical optimization 021103 operations research Computer science 0211 other engineering and technologies General Engineering Robust optimization 02 engineering and technology Linear programming relaxation Linearization Approximation models 021108 energy Stage (hydrology) computer computer.programming_language |
| Zdroj: | INFORMS Journal on Computing. 33:1138-1161 |
| ISSN: | 1526-5528 1091-9856 |
| DOI: | 10.1287/ijoc.2020.0959 |
| Popis: | In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method mainly relies on a linearization scheme employed in bilinear programming; therefore, we will say that it gives rise to the linearized robust counterpart models. We identify a close relation between this linearized robust counterpart model and the popular affinely adjustable robust counterpart model. We also describe methods of modifying both types of models to make these approximations less conservative. These methods are heavily inspired by the use of valid linear and conic inequalities in the linearization process for bilinear models. We finally demonstrate how to employ this new scheme in location-transportation and multi-item newsvendor problems to improve the numerical efficiency and performance guarantees of robust optimization. |
| Databáze: | OpenAIRE |
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