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Dual approach for two-stage robust nonlinear optimization

Frans J.C.T. de Ruiter (fjctderuiter***at***gmail.com)
Jianzhe Zhen (trevorzhen***at***gmail.com)
Dick den Hertog (d.denHertog***at***uvt.nl)

Abstract: Adjustable robust minimization problems in which the adjustable variables appear in a convex way are difficult to solve. For example, if we substitute linear decision rules for the adjustable variables, then the model becomes convex in the uncertain parameters, whereas for computational tractability we need concavity in the uncertain parameters. In this paper we reformulate the original adjustable robust nonlinear problem with a polyhedral uncertainty set into an equivalent adjustable robust linear problem, for which all existing approaches for adjustable robust linear problems can be used. The reformulation is obtained by first dualizing over the adjustable variables and then over the uncertain parameters. The polyhedral structure of the uncertainty set then appears in the linear constraints of the dualized problem, and the nonlinear functions of the adjustable variables in the original problem appear in the uncertainty set of the dualized problem. We show how to recover the linear decision rule to the original primal problem. This paper also describes how to effectively obtain lower bounds (for minimization problems) on the optimal objective value by linking the realizations in the uncertainty set of the dualized problem to realizations in the original uncertainty set.

Keywords: Adjustable robust optimization, nonlinear inequalities, duality, linear decision rules.

Category 1: Robust Optimization

Citation:

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Entry Submitted: 03/12/2018
Entry Accepted: 03/12/2018
Entry Last Modified: 11/01/2021

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