doi:10.1016/j.orl.2015.10.006
ISI:000370105400002
Hanasusanto, Grani Adiwena
Kuhn, Daniel
Wiesemann, Wolfram
K-Adaptability in Two-Stage Distributionally Robust Binary Programming
Amsterdam, Elsevier Science Bv
http://www.optimization-online.org/DB_HTML/2015/04/4878.html
We propose to approximate two-stage distributionally robust programs with binary recourse decisions by their associated K-adaptability problems, which pre-select K candidate second-stage policies here-and-now and implement the best of these policies once the uncertain parameters have been observed. We analyze the approximation quality and the computational complexity of the K-adaptability problem, and we derive explicit mixed-integer linear programming reformulations. We also provide efficient procedures for bounding the probabilities with which each of the K second-stage policies is selected.
2015-04-24T15:21:32Z
http://infoscience.epfl.ch/record/207590
http://infoscience.epfl.ch/record/207590
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