000198141 001__ 198141
000198141 005__ 20180913062438.0
000198141 022__ $$a0030-364X
000198141 02470 $$2ISI$$a000358601900010
000198141 0247_ $$2doi$$a10.1287/opre.2015.1392
000198141 037__ $$aARTICLE
000198141 245__ $$aK-Adaptability in Two-Stage Robust Binary Programming
000198141 269__ $$a2015
000198141 260__ $$aCatonsville$$bInforms$$c2015
000198141 300__ $$a15
000198141 336__ $$aJournal Articles
000198141 500__ $$aAvailable from Optimization Online; an earlier version of this paper was entitled "Two-Stage Robust Integer Programming"
000198141 520__ $$aOver the last two decades, robust optimization has emerged as a computationally attractive approach to formulate and solve single-stage decision problems affected by uncertainty. More recently, robust optimization has been successfully applied to multi-stage problems with continuous recourse. This paper takes a step towards extending the robust optimization methodology to problems with integer recourse, which have largely resisted solution so far. To this end, we approximate two-stage robust integer programs by their corresponding K-adaptability problems, in which the decision maker pre-commits to K second-stage policies here-and-now and implements the best of these policies once the uncertain parameters are observed. We study the approximation quality and the computational complexity of the K-adaptability problem, and we propose two mixed-integer linear programming reformulations that can be solved with off-the-shelf software. We demonstrate the effectiveness of our reformulations for stylized instances of supply chain design, vertex packing, route planning and capital budgeting problems.
000198141 6531_ $$aRobust optimization
000198141 6531_ $$aInteger programming
000198141 6531_ $$aTwo-stage problems
000198141 700__ $$0249201$$aHanasusanto, Grani Adiwena$$g258502
000198141 700__ $$0247589$$aKuhn, Daniel$$g239987
000198141 700__ $$aWiesemann, Wolfram
000198141 773__ $$j63$$k4$$q877-891$$tOperations Research
000198141 8564_ $$uhttp://www.optimization-online.org/DB_HTML/2014/03/4294.html$$zURL
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000198141 937__ $$aEPFL-ARTICLE-198141
000198141 973__ $$aEPFL$$rREVIEWED$$sPUBLISHED
000198141 980__ $$aARTICLE