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K-adaptability in stochastic combinatorial optimization under objective uncertainty

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  • Buchheim, Christoph
  • Pruente, Jonas

Abstract

We address combinatorial optimization problems with uncertain objective functions, given by discrete probability distributions. Within this setting, we investigate the so-called K-adaptability approach: the aim is to calculate a set of K feasible solutions such that the objective value of the best of these solutions, calculated in each scenario independently, is optimal in expectation. Interpreted as a stochastic optimization problem, we only consider second-stage variables, however, the corresponding candidate solutions are selected in the first stage, i.e., before the scenario is known.

Suggested Citation

  • Buchheim, Christoph & Pruente, Jonas, 2019. "K-adaptability in stochastic combinatorial optimization under objective uncertainty," European Journal of Operational Research, Elsevier, vol. 277(3), pages 953-963.
  • Handle: RePEc:eee:ejores:v:277:y:2019:i:3:p:953-963
    DOI: 10.1016/j.ejor.2019.03.045
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    References listed on IDEAS

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    1. Dimitris Bertsimas & Melvyn Sim, 2004. "The Price of Robustness," Operations Research, INFORMS, vol. 52(1), pages 35-53, February.
    2. 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.
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    Cited by:

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    2. Goerigk, Marc & Hartisch, Michael, 2023. "A framework for inherently interpretable optimization models," European Journal of Operational Research, Elsevier, vol. 310(3), pages 1312-1324.

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