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Linearized Robust Counterparts of Two-stage Robust Optimization Problem with Applications in Operations Management

Amir Ardestani-Jaafari (amir.ardestani-jaafari***at***hec.ca)
Erick Delage (erick.delage***at***hec.ca)

Abstract: In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method extends in a natural way a linearization scheme that was recently proposed to construct tractable reformulations for robust static problems involving profit functions that decompose as a sum of piecewise linear concave expressions. Given that this generalized method mainly relies on a linearization scheme employed in bilinear optimization problems, we will say that it gives rise to the \quoteIt{linearized robust counterpart} model. We identify a close relation between this linearized robust counterpart model and the popular affinely adjustable robust counterpart model. We also describe a simple way of modifying both types of models in order to make these approximations less conservative. We finally demonstrate how to employ this new scheme in a set of operations management problems in order to improve the performance and guarantees of robust optimization.

Keywords: two-stage adjustable robust optimization, linear programming relaxation, affinely adjustable robust counterpart, bilinear optimization

Category 1: Robust Optimization


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Entry Submitted: 03/29/2016
Entry Accepted: 03/29/2016
Entry Last Modified: 11/24/2017

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