K-adaptability in two-stage mixed-integer robust optimization
File(s)
Published version
Author(s)
Subramanyam, Anirudh
Gounaris, Chrysanthos
Wiesemann, Wolfram
Type
Journal Article
Abstract
We study two-stage robust optimization problems with mixed discrete-continuous decisionsin both stages. Despite their broad range of applications, these problems pose two fundamentalchallenges:(i)they constitute infinite-dimensional problems that require a finite-dimensional ap-proximation, and(ii)the presence of discrete recourse decisions typically prohibits duality-basedsolution schemes. We address the first challenge by studying aK-adaptability formulation thatselectsKcandidate recourse policiesbeforeobserving the realization of the uncertain parame-ters and that implements the best of these policiesafterthe realization is known. We addressthe second challenge through a branch-and-bound scheme that enjoys asymptotic convergencein general and finite convergence under specific conditions. We illustrate the performance of ouralgorithm in numerical experiments involving benchmark data from several application domains.
Date Issued
2020-06
Date Acceptance
2019-07-24
Citation
Mathematical Programming Computation, 2020, 12, pp.193-224
ISSN
1867-2949
Publisher
Springer Verlag
Start Page
193
End Page
224
Journal / Book Title
Mathematical Programming Computation
Volume
12
Copyright Statement
© The Author(s) 2019. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
License URL
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Identifier
https://link.springer.com/article/10.1007%2Fs12532-019-00174-2
Grant Number
EP/R045518/1
Subjects
Science & Technology
Technology
Operations Research & Management Science
Robust optimization
Two-stage problems
K-adaptability
Branch-and-bound
DECISION RULES
FINITE ADAPTABILITY
UNIT COMMITMENT
0103 Numerical and Computational Mathematics
0802 Computation Theory and Mathematics
0102 Applied Mathematics
Publication Status
Published
Date Publish Online
2019-11-06