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The Decision Rule Approach to Optimisation under Uncertainty: Methodology and Applications in Operations Management

Angelos Georghiou(ag604***at***imperial.ac.uk)
Wolfram Wiesemann(wwiesema***at***imperial.ac.uk)
Daniel Kuhn(dkuhn***at***imperial.ac.uk)

Abstract: Decision-making under uncertainty has a long and distinguished history in operations research. However, most of the existing solution techniques suffer from the curse of dimensionality, which restricts their application to small and medium-sized problems, or they rely on simplifying modelling assumptions (e.g. absence of recourse actions). Recently, a new solution technique has been proposed, which we refer to as the decision rule approach. By approximating the feasible region of the decision problem, the decision rule approach aims to achieve tractability without changing the fundamental structure of the problem. In this paper, we survey the major theoretical results relating to this approach, and we investigate its potential in operations management.

Keywords: Robust Optimisation; Decision Rules; Optimisation under Uncertainty

Category 1: Robust Optimization

Category 2: Applications -- OR and Management Sciences

Citation: Department of Computing, Imperial College London, 180 Queen's Gate, London SW7 2AZ, United Kingdom.

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Entry Submitted: 12/21/2011
Entry Accepted: 12/21/2011
Entry Last Modified: 12/21/2011

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