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Min max min robust (relative) regret combinatorial optimization

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  • Alejandro Crema

    (Universidad Central de Venezuela)

Abstract

We consider combinatorial optimization problems with uncertainty in the cost vector. Recently, a novel approach was developed to deal with such uncertainties: instead of a single one robust solution, obtained by solving a min max problem, the authors consider a set of solutions obtained by solving a min max min problem. In this new approach, the set of solutions is computed once and we can choose the best one in real time each time a cost vector occurs yielding better solutions compared to the min max approach. In this paper, we apply the new approach to the absolute and relative regret cases. Algorithms to solve the min max min robust (relative) regret problems are presented with computational experiments.

Suggested Citation

  • Alejandro Crema, 2020. "Min max min robust (relative) regret combinatorial optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(2), pages 249-283, October.
  • Handle: RePEc:spr:mathme:v:92:y:2020:i:2:d:10.1007_s00186-020-00712-y
    DOI: 10.1007/s00186-020-00712-y
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    References listed on IDEAS

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    1. André Chassein & Marc Goerigk, 2016. "Performance Analysis in Robust Optimization," International Series in Operations Research & Management Science, in: Michael Doumpos & Constantin Zopounidis & Evangelos Grigoroudis (ed.), Robustness Analysis in Decision Aiding, Optimization, and Analytics, chapter 0, pages 145-170, Springer.
    2. Adam Kasperski & Paweł Zieliński, 2016. "Robust Discrete Optimization Under Discrete and Interval Uncertainty: A Survey," International Series in Operations Research & Management Science, in: Michael Doumpos & Constantin Zopounidis & Evangelos Grigoroudis (ed.), Robustness Analysis in Decision Aiding, Optimization, and Analytics, chapter 0, pages 113-143, Springer.
    3. Crema, Alejandro, 2000. "An algorithm for the multiparametric 0-1-integer linear programming problem relative to the objective function," European Journal of Operational Research, Elsevier, vol. 125(1), pages 18-24, August.
    4. Grani A. Hanasusanto & Daniel Kuhn & Wolfram Wiesemann, 2015. "K -Adaptability in Two-Stage Robust Binary Programming," Operations Research, INFORMS, vol. 63(4), pages 877-891, August.
    5. Chassein, André & Goerigk, Marc & Kurtz, Jannis & Poss, Michael, 2019. "Faster algorithms for min-max-min robustness for combinatorial problems with budgeted uncertainty," European Journal of Operational Research, Elsevier, vol. 279(2), pages 308-319.
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    Cited by:

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