Saddle point approximation approaches for two-stage robust optimization problems
Author
Abstract
Suggested Citation
DOI: 10.1007/s10898-019-00836-4
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- Amir Ardestani-Jaafari & Erick Delage, 2016. "Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems," Operations Research, INFORMS, vol. 64(2), pages 474-494, April.
- Mabel C. Chou & Geoffrey A. Chua & Huan Zheng, 2014. "On the Performance of Sparse Process Structures in Partial Postponement Production Systems," Operations Research, INFORMS, vol. 62(2), pages 348-365, April.
- Aharon Ben-Tal & Boaz Golany & Arkadi Nemirovski & Jean-Philippe Vial, 2005. "Retailer-Supplier Flexible Commitments Contracts: A Robust Optimization Approach," Manufacturing & Service Operations Management, INFORMS, vol. 7(3), pages 248-271, February.
- Dimitris Bertsimas & Vineet Goyal, 2010. "On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems," Mathematics of Operations Research, INFORMS, vol. 35(2), pages 284-305, May.
- Ben-Tal, Aharon & Chung, Byung Do & Mandala, Supreet Reddy & Yao, Tao, 2011. "Robust optimization for emergency logistics planning: Risk mitigation in humanitarian relief supply chains," Transportation Research Part B: Methodological, Elsevier, vol. 45(8), pages 1177-1189, September.
- 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.
- Stephen M. Robinson, 1977. "A Characterization of Stability in Linear Programming," Operations Research, INFORMS, vol. 25(3), pages 435-447, June.
- Xin Chen & Yuhan Zhang, 2009. "Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts," Operations Research, INFORMS, vol. 57(6), pages 1469-1482, December.
- Daniela Pucci de Farias & Benjamin Van Roy, 2004. "On Constraint Sampling in the Linear Programming Approach to Approximate Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 29(3), pages 462-478, August.
- Dimitris Bertsimas & Vineet Goyal, 2013. "On the approximability of adjustable robust convex optimization under uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 77(3), pages 323-343, June.
- 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.
- 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.
- Chuen-Teck See & Melvyn Sim, 2010. "Robust Approximation to Multiperiod Inventory Management," Operations Research, INFORMS, vol. 58(3), pages 583-594, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Abbas Khademi & Ahmadreza Marandi & Majid Soleimani-damaneh, 2024. "A new dual-based cutting plane algorithm for nonlinear adjustable robust optimization," Journal of Global Optimization, Springer, vol. 89(3), pages 559-595, July.
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.- 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.
- 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 & 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Mengshi Lu & Zuo‐Jun Max Shen, 2021. "A Review of Robust Operations Management under Model Uncertainty," Production and Operations Management, Production and Operations Management Society, vol. 30(6), pages 1927-1943, June.
- 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.
- Viktoryia Buhayenko & Dick den Hertog, 2017. "Adjustable Robust Optimisation approach to optimise discounts for multi-period supply chain coordination under demand uncertainty," International Journal of Production Research, Taylor & Francis Journals, vol. 55(22), pages 6801-6823, November.
- Bomze, Immanuel M. & Gabl, Markus, 2023. "Optimization under uncertainty and risk: Quadratic and copositive approaches," European Journal of Operational Research, Elsevier, vol. 310(2), pages 449-476.
- Jiankun Sun & Jan A. Van Mieghem, 2019. "Robust Dual Sourcing Inventory Management: Optimality of Capped Dual Index Policies and Smoothing," Manufacturing & Service Operations Management, INFORMS, vol. 21(4), pages 912-931, October.
- Dan A. Iancu & Nikolaos Trichakis, 2014. "Pareto Efficiency in Robust Optimization," Management Science, INFORMS, vol. 60(1), pages 130-147, January.
- Amir Ardestani-Jaafari & Erick Delage, 2016. "Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems," Operations Research, INFORMS, vol. 64(2), pages 474-494, April.
- Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
- Ali Haddad-Sisakht & Sarah M. Ryan, 2018. "Conditions under which adjustability lowers the cost of a robust linear program," Annals of Operations Research, Springer, vol. 269(1), pages 185-204, October.
- Filipe Rodrigues & Agostinho Agra & Cristina Requejo & Erick Delage, 2021. "Lagrangian Duality for Robust Problems with Decomposable Functions: The Case of a Robust Inventory Problem," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 685-705, May.
More about this item
Keywords
Two-stage robust optimization; Randomized approach; Piecewise linear decision rule; Saddle point problem; Mirror descent algorithm;All these keywords.
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:spr:jglopt:v:78:y:2020:i:4:d:10.1007_s10898-019-00836-4. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.