Adjustable robust optimization with objective uncertainty

Boris Detienne

doi:10.1016/j.ejor.2023.06.042

Return

Adjustable robust optimization with objective uncertainty

2024-01-01

DOI：10.1016/j.ejor.2023.06.042

Original

Save

View PDF

Abstract

En 中文

In this work, we study optimization problems where some cost parameters are not known at decision time and the decision flow is modeled as a two-stage process within a robust optimization setting. We address general problems in which all constraints (including those linking the first and the second stages) are defined by convex functions and involve mixed-integer variables, thus extending the existing literature to a much wider class of problems. We show how these problems can be reformulated using Fenchel duality, allowing to derive an enumerative exact algorithm, for which we prove asymptotic convergence in the general case, and finite convergence for cases where the first-stage variables are all integer. An implementation of the resulting algorithm, embedding a column generation scheme, is then computationally evaluated on a variant of the Capacitated Facility Location Problem with uncertain transportation costs, using instances that are derived from the existing literature. To the best of our knowledge, this is the first approach providing results on the practical solution of this class of problems. & COPY; 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )

Keywords:

Uncertainty modelling

Two-stage robust optimization

Reformulation

Fenchel duality

Branch-and-price

Computational experiments

AI Summary

Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.