On the Optimality of Affine Policies for Budgeted Uncertainty Sets
Author
Abstract
Suggested Citation
DOI: 10.1287/moor.2020.1082
Download full text from publisher
References listed on IDEAS
- Krzysztof Postek & Dick den Hertog, 2016. "Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 553-574, August.
- Dimitris Bertsimas & Frans J. C. T. de Ruiter, 2016. "Duality in Two-Stage Adaptive Linear Optimization: Faster Computation and Stronger Bounds," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 500-511, August.
- Guanglin Xu & Samuel Burer, 2018. "A copositive approach for two-stage adjustable robust optimization with uncertain right-hand sides," Computational Optimization and Applications, Springer, vol. 70(1), pages 33-59, May.
- Xin Chen & Melvyn Sim & Peng Sun & Jiawei Zhang, 2008. "A Linear Decision-Based Approximation Approach to Stochastic Programming," Operations Research, INFORMS, vol. 56(2), pages 344-357, April.
- Dan A. Iancu & Mayank Sharma & Maxim Sviridenko, 2013. "Supermodularity and Affine Policies in Dynamic Robust Optimization," Operations Research, INFORMS, vol. 61(4), pages 941-956, August.
- Dimitris Bertsimas & Vineet Goyal & Xu Andy Sun, 2011. "A Geometric Characterization of the Power of Finite Adaptability in Multistage Stochastic and Adaptive Optimization," Mathematics of Operations Research, INFORMS, vol. 36(1), pages 24-54, February.
- Dimitris Bertsimas & Melvyn Sim, 2004. "The Price of Robustness," Operations Research, INFORMS, vol. 52(1), pages 35-53, February.
- Dimitris Bertsimas & Dan A. Iancu & Pablo A. Parrilo, 2010. "Optimality of Affine Policies in Multistage Robust Optimization," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 363-394, May.
- Dimitris Bertsimas & Angelos Georghiou, 2015. "Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization," Operations Research, INFORMS, vol. 63(3), pages 610-627, June.
- 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.
- Niv Buchbinder & Joseph (Seffi) Naor, 2009. "Online Primal-Dual Algorithms for Covering and Packing," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 270-286, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Huang, Sen & Liu, Kanglin & Zhang, Zhi-Hai, 2023. "Column-and-constraint-generation-based approach to a robust reverse logistic network design for bike sharing," Transportation Research Part B: Methodological, Elsevier, vol. 173(C), pages 90-118.
- Qi, Mingyao & Yang, Ying & Cheng, Chun, 2023. "Location and inventory pre-positioning problem under uncertainty," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 177(C).
- Jianzhe Zhen & Ahmadreza Marandi & Danique de Moor & Dick den Hertog & Lieven Vandenberghe, 2022. "Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective," INFORMS Journal on Computing, INFORMS, vol. 34(5), pages 2410-2427, September.
- Borumand, Ali & Marandi, Ahmadreza & Nookabadi, Ali S. & Atan, Zümbül, 2024. "An oracle-based algorithm for robust planning of production routing problems in closed-loop supply chains of beverage glass bottles," Omega, Elsevier, vol. 122(C).
- Sixiang Zhao, 2023. "Decision rule-based method in solving adjustable robust capacity expansion problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 97(2), pages 259-286, April.
- Zhang, Liu & Zheng, Zhong & Chai, Yi & Zhang, Kaitian & Lian, Xiaoyuan & Zhang, Kai & Zhao, Liuqiang, 2024. "Enhancing robustness: Multi-stage adaptive robust scheduling of oxygen systems in steel enterprises under demand uncertainty," Applied Energy, Elsevier, vol. 359(C).
- Peter Zhang, 2023. "Distributionally Robust Principal-Agent Problems and Optimality of Contracts," Papers 2303.07468, arXiv.org, revised Jan 2024.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Angelos Georghiou & Daniel Kuhn & Wolfram Wiesemann, 2019. "The decision rule approach to optimization under uncertainty: methodology and applications," Computational Management Science, Springer, vol. 16(4), pages 545-576, October.
- Angelos Georghiou & Angelos Tsoukalas & Wolfram Wiesemann, 2020. "A Primal–Dual Lifting Scheme for Two-Stage Robust Optimization," Operations Research, INFORMS, vol. 68(2), pages 572-590, March.
- Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
- Jianzhe Zhen & Ahmadreza Marandi & Danique de Moor & Dick den Hertog & Lieven Vandenberghe, 2022. "Disjoint Bilinear Optimization: A Two-Stage Robust Optimization Perspective," INFORMS Journal on Computing, INFORMS, vol. 34(5), pages 2410-2427, September.
- 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.
- Hamed Mamani & Shima Nassiri & Michael R. Wagner, 2017. "Closed-Form Solutions for Robust Inventory Management," Management Science, INFORMS, vol. 63(5), pages 1625-1643, May.
- Walid Ben-Ameur & Adam Ouorou & Guanglei Wang & Mateusz Żotkiewicz, 2018. "Multipolar robust optimization," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(4), pages 395-434, December.
- Christoph Buchheim & Jannis Kurtz, 2018. "Robust combinatorial optimization under convex and discrete cost uncertainty," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 211-238, September.
- Metzker Soares, Paula & Thevenin, Simon & Adulyasak, Yossiri & Dolgui, Alexandre, 2024. "Adaptive robust optimization for lot-sizing under yield uncertainty," European Journal of Operational Research, Elsevier, vol. 313(2), pages 513-526.
- Cohen, Izack & Postek, Krzysztof & Shtern, Shimrit, 2023. "An adaptive robust optimization model for parallel machine scheduling," European Journal of Operational Research, Elsevier, vol. 306(1), pages 83-104.
- Feng, Wei & Feng, Yiping & Zhang, Qi, 2021. "Multistage robust mixed-integer optimization under endogenous uncertainty," European Journal of Operational Research, Elsevier, vol. 294(2), pages 460-475.
- Rahal, Said & Papageorgiou, Dimitri J. & Li, Zukui, 2021. "Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1014-1030.
- Haolin Ruan & Zhi Chen & Chin Pang Ho, 2023. "Adjustable Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets," INFORMS Journal on Computing, INFORMS, vol. 35(5), pages 1002-1023, September.
- Anirudh Subramanyam & Frank Mufalli & José M. Lí?nez-Aguirre & Jose M. Pinto & Chrysanthos E. Gounaris, 2021. "Robust Multiperiod Vehicle Routing Under Customer Order Uncertainty," Operations Research, INFORMS, vol. 69(1), pages 30-60, January.
- Farough Motamed Nasab & Zukui Li, 2023. "Multistage Adaptive Robust Binary Optimization: Uncertainty Set Lifting versus Partitioning through Breakpoints Optimization," Mathematics, MDPI, vol. 11(18), pages 1-24, September.
- Dimitris Bertsimas & Frans J. C. T. de Ruiter, 2016. "Duality in Two-Stage Adaptive Linear Optimization: Faster Computation and Stronger Bounds," INFORMS Journal on Computing, INFORMS, vol. 28(3), pages 500-511, August.
- Dimitris Bertsimas & Iain Dunning, 2016. "Multistage Robust Mixed-Integer Optimization with Adaptive Partitions," Operations Research, INFORMS, vol. 64(4), pages 980-998, August.
- Josette Ayoub & Michael Poss, 2016. "Decomposition for adjustable robust linear optimization subject to uncertainty polytope," Computational Management Science, Springer, vol. 13(2), pages 219-239, April.
- Angelos Georghiou & Angelos Tsoukalas & Wolfram Wiesemann, 2019. "Robust Dual Dynamic Programming," Operations Research, INFORMS, vol. 67(3), pages 813-830, May.
More about this item
Keywords
Primary: 90C15; 90C47; Primary: robust optimization; robust optimization; affine policies; budget of uncertainty;All these keywords.
JEL classification:
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormoor:v:46:y:2021:i:2:p:674-711. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.