Deriving robust and globalized robust solutions of uncertain linear programs having general convex uncertainty sets
Gorissen,B.L. Blanc,J.P.C. den Hertog,D. Ben-Tal,A.
Gorissen,B.L.
Blanc,J.P.C.
den Hertog,D.
Ben-Tal,A.
Abstract
We propose a new way to derive tractable robust counterparts of a linear program based on the duality between the robust (“pessimistic”) primal problem and its “optimistic” dual. First we obtain a new convex reformulation of the dual problem of a robust linear program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intractable. The results are illustrated by solving a multi-item newsvendor problem. We also apply the new method to the globalized robust counterpart scheme and show its tractability.
Description
Technical note
Date
2014-05
Journal Title
Journal ISSN
Volume Title
Publisher
Research Projects
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Journal Issue
Keywords
robust optimization, general convex uncertainty regions, uncertain linear optimizations, globalized robust counterpart
Citation
Gorissen, B L, Blanc, J P C, den Hertog, D & Ben-Tal, A 2014, 'Deriving robust and globalized robust solutions of uncertain linear programs having general convex uncertainty sets', Operations Research, vol. 62, no. 3, pp. 672-679. https://doi.org/10.1287/opre.2014.1265