Name
Title | ||
|---|---|---|
Explicit Reformulations for Robust Optimization Problems with General Uncertainty Sets |
Abstract | ||
|---|---|---|
We consider a rather general class of mathematical programming problems with data uncertainty, where the uncertainty set is represented by a system of convex inequalities. We prove that the robust counterparts of this class of problems can be reformulated equivalently as finite and explicit optimization problems. Moreover, we develop simplified reformulations for problems with uncertainty sets defined by convex homogeneous functions. Our results provide a unified treatment of many situations that have been investigated in the literature and are applicable to a wider range of problems and more complicated uncertainty sets than those considered before. The analysis in this paper makes it possible to use existing continuous optimization algorithms to solve more complicated robust optimization problems. The analysis also shows how the structure of the resulting reformulation of the robust counterpart depends both on the structure of the original nominal optimization problem and on the structure of the uncertainty set. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1137/060650003 | SIAM Journal on Optimization |
Keywords | Field | DocType |
original nominal optimization problem,complicated uncertainty set,explicit reformulations,general uncertainty sets,complicated robust optimization problem,convex inequality,robust counterpart,data uncertainty,continuous optimization algorithm,convex homogeneous function,uncertainty set,robust optimization problems,explicit optimization problem,homogeneous functions,convex analysis,robust optimization,mathematical programming | Continuous optimization,Discrete mathematics,Mathematical optimization,Probabilistic-based design optimization,Homogeneous function,Robust optimization,Nonlinear programming,Stochastic programming,Optimization problem,Convex analysis,Mathematics | Journal |
Volume | Issue | ISSN |
18 | 4 | 1052-6234 |
Citations | PageRank | References |
14 | 0.85 | 21 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Igor Averbakh | 1 | 699 | 54.76 |
| Yun-Bin Zhao | 2 | 117 | 16.22 |