Conditions under which adjustability lowers the cost of a robust linear program

Thumbnail Image
Date
2018-10-01
Authors
Haddad-Sisakht, Ali
Major Professor
Advisor
Committee Member
Journal Title
Journal ISSN
Volume Title
Publisher
Authors
Person
Ryan, Sarah
Department Chair
Research Projects
Organizational Units
Organizational Unit
Industrial and Manufacturing Systems Engineering
The Department of Industrial and Manufacturing Systems Engineering teaches the design, analysis, and improvement of the systems and processes in manufacturing, consulting, and service industries by application of the principles of engineering. The Department of General Engineering was formed in 1929. In 1956 its name changed to Department of Industrial Engineering. In 1989 its name changed to the Department of Industrial and Manufacturing Systems Engineering.
Journal Issue
Is Version Of
Versions
Series
Abstract

The adjustable robust counterpart (ARC) of an uncertain linear program extends the robust counterpart (RC) by allowing some decision variables to adjust to the realizations of some uncertain parameters. The ARC may produce a less conservative and costly solution than the RC does but cases are known in which it does not. While the literature documents some examples of cost savings provided by adjustability (particularly affine adjustability), it is not straightforward to determine in advance whether they will materialize. The affine adjustable robust counterpart, while having a tractable structure, still may be much larger than the original problem. We establish conditions under which affine adjustability may lower the optimal cost with a numerical condition that can be checked in small representative instances. As demonstrated in applications, the conditions provide insights into constraint relationships that allow adjustability to have its intended effect.

Comments

This is a post-peer-review, pre-copyedit version of an article published in Annals of Operations Research. The final authenticated version is available online at DOI: 10.1007/s10479-018-2954-4. Posted with permission.

Description
Keywords
Citation
DOI
Copyright
Mon Jan 01 00:00:00 UTC 2018
Collections