Hanasusanto, Grani Adiwena
Kuhn, Daniel
Wiesemann, Wolfram
K-Adaptability in Two-Stage Distributionally Robust Binary Programming
Operations Research Letters
0167-6377
10.1016/j.orl.2015.10.006
44
1
6-11
6
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.
Distributionally robust optimization;
Integer programming;
two-stage problems;
Elsevier Science Bv
Amsterdam
2016
http://www.optimization-online.org/DB_HTML/2015/04/4878.html;