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Adjustable robust counterpart of conic quadratic problems

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  • Odellia Boni
  • Aharon Ben-Tal

Abstract

This paper presents an approximate affinely adjustable robust counterpart for conic quadratic constraints. The theory is applied to obtain robust solutions to the problems of subway route design with implementation errors and a supply chain management with uncertain demands. Comparison of the adjustable solutions with the nominal and non-adjustable robust solutions shows that the adjustable (dynamic) robust solution maintains feasibility for all possible realizations, while being less conservative than the usual (static) robust counterpart solution. Copyright Springer-Verlag 2008

Suggested Citation

  • Odellia Boni & Aharon Ben-Tal, 2008. "Adjustable robust counterpart of conic quadratic problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(2), pages 211-233, October.
    • Handle: RePEc:spr:mathme:v:68:y:2008:i:2:p:211-233
    DOI: 10.1007/s00186-008-0218-9
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    Cited by:

    1. Yanıkoğlu, İhsan & Gorissen, Bram L. & den Hertog, Dick, 2019. "A survey of adjustable robust optimization," European Journal of Operational Research, Elsevier, vol. 277(3), pages 799-813.
    2. Liu, Kun & Gao, Feng, 2017. "Scenario adjustable scheduling model with robust constraints for energy intensive corporate microgrid with wind power," Renewable Energy, Elsevier, vol. 113(C), pages 1-10.
    3. Nicolas Kämmerling & Jannis Kurtz, 2020. "Oracle-based algorithms for binary two-stage robust optimization," Computational Optimization and Applications, Springer, vol. 77(2), pages 539-569, November.

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