Technical Note-Deriving Robust and Globalized Robust Solutions of Uncertain Linear Programs with General Convex Uncertainty Sets

• 成果类型: Article
• 署名作者: Gorissen, Bram L.; Blanc, Hans; den Hertog, Dick; Ben-Tal, Aharon
• 署名单位: Tilburg University; Technion Israel Institute of Technology; Tilburg University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2014.1265
• 发表日期: 2014
• 页码: 672-679
• 关键词: duality-theory; counterparts; optimization

摘要

We propose a new way to derive tractable robust counterparts of a linear program based on the duality between the robust (pessimistic) primal problem and its optimistic dual. First we obtain a new convex reformulation of the dual problem of a robust linear program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intractable. The results are illustrated by solving a multi-item newsvendor problem. We also apply the new method to the globalized robust counterpart scheme and show its tractability.