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K-Adaptability in Two-Stage Robust Binary Programming.
- Source :
- Operations Research; Jul/Aug2015, Vol. 63 Issue 4, p877-891, 15p, 1 Diagram, 3 Charts, 3 Graphs, 1 Map
- Publication Year :
- 2015
-
Abstract
- Over the last two decades, robust optimization has emerged as a computationally attractive approach to formulate and solve single-stage decision problems affected by uncertainty. More recently, robust optimization has been successfully applied to multistage problems with continuous recourse. This paper takes a step toward extending the robust optimization methodology to problems with integer recourse, which have largely resisted solution so far. To this end, we approximate two-stage robust binary programs by their corresponding K-adaptability problems, in which the decision maker precommits to K second-stage policies, here -and-now, and implements the best of these policies once the uncertain parameters are observed. We study the approximation quality and the computational complexity of the K-adaptability problem, and we propose two mixed-integer linear programming reformulations that can be solved with off-the-shelf software. We demonstrate the effectiveness of our reformulations for stylized instances of supply chain design, route planning, and capital budgeting problems. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 0030364X
- Volume :
- 63
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 109579458
- Full Text :
- https://doi.org/10.1287/opre.2015.1392