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Duality in Two-stage Adaptive Linear Optimization: Faster Computation and Stronger Bounds

Dimitris Bertsimas (dbertsim***at***mit.edu)
Frans J.C.T. de Ruiter (f.j.c.t.deruiter***at***tilburguniversity.edu)

Abstract: In this paper we derive and exploit duality in general two-stage adaptive linear optimization models. The equivalent dualized formulation we derive is again a two-stage adaptive linear optimization model. Therefore, all existing solution approaches for two-stage adaptive models can be used to solve or approximate the dual formulation. The new dualized model differs from the primal formulation in its dimension and uses a different description of the uncertainty set. We show that the optimal primal affine policy can be directly obtained from the optimal affine policy in the dual formulation. We provide empirical evidence that the dualized model in the context of two-stage lot-sizing on a network and two-stage facility location problems solves an order of magnitude faster than the primal formulation with affine policies. We also provide an explanation and associated empirical evidence that offer insight on which characteristics of the dualized formulation make computations faster. Furthermore, the affine policy of the dual formulations can be used to provide stronger lower bounds on the optimality of affine policies.

Keywords: two-stage problems; robust optimization; duality; affine control policies

Category 1: Applications -- OR and Management Sciences

Category 2: Robust Optimization

Citation:

Download: [PDF]

Entry Submitted: 08/07/2015
Entry Accepted: 08/07/2015
Entry Last Modified: 01/11/2016

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