Multiobjective optimization under uncertainty: A multiobjective robust (relative) regret approach

Patrick Groetzner

doi:10.1016/j.ejor.2021.03.068

2022-01-01

Patrick Groetzner

Ralf Werner *

DOI：10.1016/j.ejor.2021.03.068

原文链接

查看原文

摘要

En 中文

Consider a multiobjective decision problem with uncertainty in the objective functions, given as a set of scenarios. In the single-criterion case, robust optimization methodology helps to identify solutions which remain feasible and of good quality for all possible scenarios. A well-known alternative method in the single-objective case is to compare possible decisions under uncertainty with the optimal decision with the benefit of hindsight, i.e. to minimize the (possibly scaled) regret of not having chosen the optimal decision. In this contribution, we extend the concept of regret from the single-objective case to the multiobjective setting and introduce a proper definition of multivariate (robust) (relative) regret. In contrast to the few existing ideas that mix scalarization and optimization, we clearly separate the modelling of multiobjective (robust) regret from its numerical solution. Moreover, our approach is not limited to a finite uncertainty set or interval uncertainty and furthermore, computations or at least approximations remain tractable in several important special cases. We illustrate all approaches based on a biobjective shortest path problem under uncertainty. (c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )

Keyword:

Multiobjective optimization

Robust optimization

Multivariate robust regret

Chebyshev scalarization

Polytopal approximation