Robust Counterparts of Inequalities Containing Sums of Maxima of Linear Functions
AbstractThis paper adresses the robust counterparts of optimization problems containing sums of maxima of linear functions and proposes several reformulations. These problems include many practical problems, e.g. problems with sums of absolute values, and arise when taking the robust counterpart of a linear inequality that is affine in the decision variables, affine in a parameter with box uncertainty, and affine in a parameter with general uncertainty. In the literature, often the reformulation that is exact when there is no uncertainty is used. However, in robust optimization this reformulation gives an inferior solution and provides a pessimistic view. We observe that in many papers this conservatism is not mentioned. Some papers have recognized this problem, but existing solutions are either too conservative or their performance for different uncertainty regions is not known, a comparison between them is not available, and they are restricted to specific problems. We provide techniques for general problems and compare them with numerical examples in inventory management, regression and brachytherapy. Based on these examples, we give tractable recommendations for reducing the conservatism.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2011-115.
Date of creation: 2011
Date of revision:
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Web page: http://center.uvt.nl
robust optimization; sum of maxima of linear functions; biaffine uncertainty; robust conic quadratic constraints;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
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- Aharon, Ben-Tal & Boaz, Golany & Shimrit, Shtern, 2009. "Robust multi-echelon multi-period inventory control," European Journal of Operational Research, Elsevier, vol. 199(3), pages 922-935, December.
- Ng, Tsan Sheng & Sun, Yang & Fowler, John, 2010. "Semiconductor lot allocation using robust optimization," European Journal of Operational Research, Elsevier, vol. 205(3), pages 557-570, September.
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