A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets
AbstractAbstract: We propose a new way to derive tractable robust counterparts of a linear conic optimization problem by using the theory of Beck and Ben-Tal  on the duality between the robust (“pessimistic”) primal problem and its “optimistic” dual. First, we obtain a new convex reformulation of the dual problem of a robust linear conic program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intractable. The results are illustrated by solving a multi-item newsvendor problem. We also propose a new globalized robust counterpart that is more flexible, and is tractable for general convex uncertainty sets and any convex distance function.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2012-076.
Date of creation: 2012
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Web page: http://center.uvt.nl
robust optimization; general convex uncertainty regions; linear conic optimization;
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-2012-10-27 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Blanc, J.P.C. & Hertog, D. den, 2008. "On Markov Chains with Uncertain Data," Discussion Paper 2008-50, Tilburg University, Center for Economic Research.
- Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013.
"Robust Solutions of Optimization Problems Affected by Uncertain Probabilities,"
INFORMS, vol. 59(2), pages 341-357, April.
- Ben-Tal, A. & Hertog, D. den & De Waegenaere, A.M.B. & Melenberg, B. & Rennen, G., 2011. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Discussion Paper 2011-061, Tilburg University, Center for Economic Research.
- Ben-Tal, A. & Hertog, D. den & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
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