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Two-Stage robust optimization problems with two-stage uncertainty

Author

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  • Goerigk, Marc
  • Lendl, Stefan
  • Wulf, Lasse

Abstract

We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty set. Afterwards, the decision maker can react to this scenario by completing the partial first-stage solution to a full solution.

Suggested Citation

  • Goerigk, Marc & Lendl, Stefan & Wulf, Lasse, 2022. "Two-Stage robust optimization problems with two-stage uncertainty," European Journal of Operational Research, Elsevier, vol. 302(1), pages 62-78.
    • Handle: RePEc:eee:ejores:v:302:y:2022:i:1:p:62-78
    DOI: 10.1016/j.ejor.2021.12.046
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    References listed on IDEAS

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    1. Dimitris Bertsimas & Iain Dunning, 2016. "Multistage Robust Mixed-Integer Optimization with Adaptive Partitions," Operations Research, INFORMS, vol. 64(4), pages 980-998, August.
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    5. Chassein, André & Goerigk, Marc & Kasperski, Adam & Zieliński, Paweł, 2018. "On recoverable and two-stage robust selection problems with budgeted uncertainty," European Journal of Operational Research, Elsevier, vol. 265(2), pages 423-436.
    6. Dimitris Bertsimas & Aurélie Thiele, 2006. "A Robust Optimization Approach to Inventory Theory," Operations Research, INFORMS, vol. 54(1), pages 150-168, February.
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