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Lexicographic alpha-robustness: an alternative to min-max criteria

Author

Listed:
  • Rim Kalai-Jemai

    (Pôle Customer, Retail and Supply Chain - Rouen Business School - Rouen Business School)

  • Claude Lamboray

    (Service de Mathematiques appliquée - Uni.lu - Université du Luxembourg)

  • Daniel Vanderpooten

    (LAMSADE - Laboratoire d'analyse et modélisation de systèmes pour l'aide à la décision - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

Robustness in Operations Research/Decision Aid is often associated with min-max and min-max regret criteria. This common approach to determine robust solutions consists in finding a solution which minimizes the maximal cost or regret. Nevertheless, these criteria are known to be too conservative. In this paper, we present and study a new robustness approach, called lexicographic α-robustness, which compensates for this major drawback and many others. Furthermore, we establish a link between lexicographic α-robustness and a third robustness approach called p-robustness.

Suggested Citation

  • Rim Kalai-Jemai & Claude Lamboray & Daniel Vanderpooten, 2012. "Lexicographic alpha-robustness: an alternative to min-max criteria," Post-Print hal-00809571, HAL.
    • Handle: RePEc:hal:journl:hal-00809571
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    Cited by:

    1. Dan A. Iancu & Nikolaos Trichakis, 2014. "Pareto Efficiency in Robust Optimization," Management Science, INFORMS, vol. 60(1), pages 130-147, January.

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