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K-adaptability in two-stage mixed-integer robust optimization

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Title: K-adaptability in two-stage mixed-integer robust optimization
Authors: Subramanyam, A
Gounaris, C
Wiesemann, W
Item 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.
Issue Date: Jun-2020
Date of Acceptance: 24-Jul-2019
URI: http://hdl.handle.net/10044/1/72361
DOI: 10.1007/s12532-019-00174-2
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.
Sponsor/Funder: Engineering & Physical Science Research Council (EPSRC)
Funder's Grant Number: EP/R045518/1
Keywords: Science & Technology
Operations Research & Management Science
Robust optimization
Two-stage problems
0103 Numerical and Computational Mathematics
0802 Computation Theory and Mathematics
0102 Applied Mathematics
Publication Status: Published
Online Publication Date: 2019-11-06
Appears in Collections:Imperial College Business School