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Performance Analysis in Robust Optimization

In: Robustness Analysis in Decision Aiding, Optimization, and Analytics

Author

Listed:
  • André Chassein

    (University of Kaiserslautern)

  • Marc Goerigk

    (Lancaster University)

Abstract

We discuss the problem of evaluating a robust solution performance analysis . To this end, we first give a short primer on how to apply robustification approaches to uncertain optimization problems using the assignment problem and the knapsack problem as illustrative examples. As it is not immediately clear in practice which such robustness approach is suitable for the problem at hand, we present current approaches for evaluating and comparing robustness from the literature, and introduce the new concept of a scenario curve. Using the methods presented in this chapter, an easy guide is given to the decision maker to find, solve and compare the best robust optimization method for his purposes.

Suggested Citation

  • André Chassein & Marc Goerigk, 2016. "Performance Analysis in Robust Optimization," International Series in Operations Research & Management Science, in: Michael Doumpos & Constantin Zopounidis & Evangelos Grigoroudis (ed.), Robustness Analysis in Decision Aiding, Optimization, and Analytics, chapter 0, pages 145-170, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-33121-8_7
    DOI: 10.1007/978-3-319-33121-8_7
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    Citations

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    Cited by:

    1. Asimit, Alexandru V. & Hu, Junlei & Xie, Yuantao, 2019. "Optimal robust insurance with a finite uncertainty set," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 67-81.
    2. Chassein, André & Goerigk, Marc, 2017. "Minmax regret combinatorial optimization problems with ellipsoidal uncertainty sets," European Journal of Operational Research, Elsevier, vol. 258(1), pages 58-69.
    3. Chassein, André & Goerigk, Marc, 2018. "Variable-sized uncertainty and inverse problems in robust optimization," European Journal of Operational Research, Elsevier, vol. 264(1), pages 17-28.
    4. Alejandro Crema, 2020. "Min max min robust (relative) regret combinatorial optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 92(2), pages 249-283, October.
    5. Goerigk, Marc & Hamacher, Horst W. & Kinscherff, Anika, 2018. "Ranking robustness and its application to evacuation planning," European Journal of Operational Research, Elsevier, vol. 264(3), pages 837-846.
    6. Chassein, André & Goerigk, Marc, 2018. "Compromise solutions for robust combinatorial optimization with variable-sized uncertainty," European Journal of Operational Research, Elsevier, vol. 269(2), pages 544-555.

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