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A decision-theoretic approach to robust optimization in multivalued graphs

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  • Patrice Perny
  • Olivier Spanjaard
  • Louis-Xavier Storme

Abstract

This paper is devoted to the search of robust solutions in finite graphs when costs depend on scenarios. We first point out similarities between robust optimization and multiobjective optimization. Then, we present axiomatic requirements for preference compatibility with the intuitive idea of robustness in a multiple scenarios decision context. This leads us to propose the Lorenz dominance rule as a basis for robustness analysis. Then, after presenting complexity results about the determination of Lorenz optima, we show how the search can be embedded in algorithms designed to enumerate k best solutions. Then, we apply it in order to enumerate Lorenz optimal spanning trees and paths. We investigate possible refinements of Lorenz dominance and we propose an axiomatic justification of OWA operators in this context. Finally, the results of numerical experiments on randomly generated graphs are provided. They show the numerical efficiency of the suggested approach. Copyright Springer Science + Business Media, LCC 2006

Suggested Citation

  • Patrice Perny & Olivier Spanjaard & Louis-Xavier Storme, 2006. "A decision-theoretic approach to robust optimization in multivalued graphs," Annals of Operations Research, Springer, vol. 147(1), pages 317-341, October.
    • Handle: RePEc:spr:annopr:v:147:y:2006:i:1:p:317-341:10.1007/s10479-006-0073-0
    DOI: 10.1007/s10479-006-0073-0
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    Cited by:

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    2. Tim Holzmann & J. Cole Smith, 2019. "Shortest path interdiction problem with arc improvement recourse: A multiobjective approach," Naval Research Logistics (NRL), John Wiley & Sons, vol. 66(3), pages 230-252, April.
    3. Klamroth, Kathrin & Köbis, Elisabeth & Schöbel, Anita & Tammer, Christiane, 2017. "A unified approach to uncertain optimization," European Journal of Operational Research, Elsevier, vol. 260(2), pages 403-420.
    4. Bouyssou, Denis & Marchant, Thierry, 2014. "An axiomatic approach to bibliometric rankings and indices," Journal of Informetrics, Elsevier, vol. 8(3), pages 449-477.
    5. Mut, Murat & Wiecek, Margaret M., 2011. "Generalized equitable preference in multiobjective programming," European Journal of Operational Research, Elsevier, vol. 212(3), pages 535-551, August.
    6. Dugardin, Frédéric & Yalaoui, Farouk & Amodeo, Lionel, 2010. "New multi-objective method to solve reentrant hybrid flow shop scheduling problem," European Journal of Operational Research, Elsevier, vol. 203(1), pages 22-31, May.
    7. Andrew J. Keith & Darryl K. Ahner, 2021. "A survey of decision making and optimization under uncertainty," Annals of Operations Research, Springer, vol. 300(2), pages 319-353, May.
    8. Maedeh Fasihi & Reza Tavakkoli-Moghaddam & Fariborz Jolai, 2023. "A bi-objective re-entrant permutation flow shop scheduling problem: minimizing the makespan and maximum tardiness," Operational Research, Springer, vol. 23(2), pages 1-41, June.
    9. Galand, Lucie & Perny, Patrice & Spanjaard, Olivier, 2010. "Choquet-based optimisation in multiobjective shortest path and spanning tree problems," European Journal of Operational Research, Elsevier, vol. 204(2), pages 303-315, July.
    10. Virginie Gabrel & Cécile Murat & Aurélie Thiele, 2018. "Portfolio optimization with pw-robustness," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 267-290, September.

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