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Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set (Revision of CentER Discussion Paper 2014-056)

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  • Postek, K.S.

    (Tilburg University, Center For Economic Research)

  • den Hertog, D.

    (Tilburg University, Center For Economic Research)

Abstract

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Suggested Citation

  • Postek, K.S. & den Hertog, D., 2016. "Multi-stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty set (Revision of CentER Discussion Paper 2014-056)," Discussion Paper 2016-006, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:08442e3a-d1eb-42b3-8f13-8af3dc9d85c2
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    References listed on IDEAS

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    1. Ben-Tal, A. & den Hertog, D. & Vial, J.P., 2012. "Deriving Robust Counterparts of Nonlinear Uncertain Inequalities," Discussion Paper 2012-053, Tilburg University, Center for Economic Research.
    2. Karl Frauendorfer, 1988. "Solving SLP Recourse Problems with Arbitrary Multivariate Distributions---The Dependent Case," Mathematics of Operations Research, INFORMS, vol. 13(3), pages 377-394, August.
    3. Xin Chen & Melvyn Sim & Peng Sun, 2007. "A Robust Optimization Perspective on Stochastic Programming," Operations Research, INFORMS, vol. 55(6), pages 1058-1071, December.
    4. 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.
    5. 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.
    6. 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.
    7. Xin Chen & Yuhan Zhang, 2009. "Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts," Operations Research, INFORMS, vol. 57(6), pages 1469-1482, December.
    8. Bram L. Gorissen & Hans Blanc & Dick den Hertog & Aharon Ben-Tal, 2014. "Technical Note---Deriving Robust and Globalized Robust Solutions of Uncertain Linear Programs with General Convex Uncertainty Sets," Operations Research, INFORMS, vol. 62(3), pages 672-679, June.
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    Cited by:

    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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    Keywords

    adjustable; decision rules; integer; multi-stage; robust optimization;
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