Results 1  10
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105
Facility Location under Uncertainty: A Review
 IIE Transactions
, 2004
"... Plants, distribution centers, and other facilities generally function for years or decades, during which time the environment in which they operate may change substantially. Costs, demands, travel times, and other inputs to classical facility location models may be highly uncertain. This has made th ..."
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Cited by 35 (7 self)
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Plants, distribution centers, and other facilities generally function for years or decades, during which time the environment in which they operate may change substantially. Costs, demands, travel times, and other inputs to classical facility location models may be highly uncertain. This has made the development of models for facility location under uncertainty a high priority for researchers in both the logistics and stochastic/robust optimization communities. Indeed, a large number of the approaches that have been proposed for optimization under uncertainty have been applied to facility location problems. This paper reviews the literature...
TWOSTAGE ROBUST NETWORK FLOW AND DESIGN UNDER DEMAND UNCERTAINTY
 FORTHCOMING IN OPERATIONS RESEARCH
, 2004
"... We describe a twostage robust optimization approach for solving network flow and design problems with uncertain demand. In twostage network optimization one defers a subset of the flow decisions until after the realization of the uncertain demand. Availability of such a recourse action allows one ..."
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Cited by 34 (3 self)
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We describe a twostage robust optimization approach for solving network flow and design problems with uncertain demand. In twostage network optimization one defers a subset of the flow decisions until after the realization of the uncertain demand. Availability of such a recourse action allows one to come up with less conservative solutions compared to singlestage optimization. However, this advantage often comes at a price: twostage optimization is, in general, significantly harder than singestage optimization. For network flow and design under demand uncertainty we give a characterization of the firststage robust decisions with an exponential number of constraints and prove that the corresponding separation problem is N Phard even for a network flow problem on a bipartite graph. We show, however, that if the secondstage network topology is totally ordered or an arborescence, then the separation problem is tractable. Unlike singlestage robust optimization under demand uncertainty, twostage robust optimization allows one to control conservatism of the solutions by means of an allowed “budget for demand uncertainty.” Using a budget of uncertainty we provide an upper
Tractable approximations of robust conic optimization problems
"... Abstract. In earlier proposals, the robust counterpart of conic optimization problems exhibits a lateral increase in complexity, i.e., robust linear programming problems (LPs) become second order cone problems (SOCPs), robust SOCPs become semidefinite programming problems (SDPs), and robust SDPs bec ..."
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Cited by 33 (11 self)
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Abstract. In earlier proposals, the robust counterpart of conic optimization problems exhibits a lateral increase in complexity, i.e., robust linear programming problems (LPs) become second order cone problems (SOCPs), robust SOCPs become semidefinite programming problems (SDPs), and robust SDPs become NPhard. We propose a relaxed robust counterpart for general conic optimization problems that (a) preserves the computational tractability of the nominal problem; specifically the robust conic optimization problem retains its original structure, i.e., robust LPs remain LPs, robust SOCPs remain SOCPs and robust SDPs remain SDPs, and (b) allows us to provide a guarantee on the probability that the robust solution is feasible when the uncertain coefficients obey independent and identically distributed normal distributions. Key words. Robust Optimization – Conic Optimization – Stochastic Optimization 1.
Robust game theory
, 2006
"... We present a distributionfree model of incompleteinformation games, both with and without private information, in which the players use a robust optimization approach to contend with payoff uncertainty. Our “robust game” model relaxes the assumptions of Harsanyi’s Bayesian game model, and provides ..."
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Cited by 33 (0 self)
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We present a distributionfree model of incompleteinformation games, both with and without private information, in which the players use a robust optimization approach to contend with payoff uncertainty. Our “robust game” model relaxes the assumptions of Harsanyi’s Bayesian game model, and provides an alternative distributionfree equilibrium concept, which we call “robustoptimization equilibrium, ” to that of the ex post equilibrium. We prove that the robustoptimization equilibria of an incompleteinformation game subsume the ex post equilibria of the game and are, unlike the latter, guaranteed to exist when the game is finite and has bounded payoff uncertainty set. For arbitrary robust finite games with bounded polyhedral payoff uncertainty sets, we show that we can compute a robustoptimization equilibrium by methods analogous to those for identifying a Nash equilibrium of a finite game with complete information. In addition, we present computational results.
How to pay, come what may: Approximation algorithms for demandrobust covering problems
 In FOCS
, 2005
"... Robust optimization has traditionally focused on uncertainty in data and costs in optimization problems to formulate models whose solutions will be optimal in the worstcase among the various uncertain scenarios in the model. While these approaches may be thought of defining data or costrobust prob ..."
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Cited by 27 (7 self)
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Robust optimization has traditionally focused on uncertainty in data and costs in optimization problems to formulate models whose solutions will be optimal in the worstcase among the various uncertain scenarios in the model. While these approaches may be thought of defining data or costrobust problems, we formulate a new “demandrobust” model motivated by recent work on twostage stochastic optimization problems. We propose this in the framework of general covering problems and prove a general structural lemma about special types of firststage solutions for such problems: there exists a firststage solution that is a minimal feasible solution for the union of the demands for some subset of the scenarios and its objective function value is no more than twice the optimal. We then provide approximation algorithms for a variety of standard discrete covering problems in this setting, including minimum cut, minimum multicut, shortest paths, Steiner trees, vertex cover and uncapacitated facility location. While many of our results draw from rounding approaches recently developed for stochastic programming problems, we also show new applications of old metric rounding techniques for cut problems in this demandrobust setting.
An Approximation Scheme for Stochastic Linear Programming and its Application to Stochastic Integer Programs
, 2004
"... Stochastic optimization problems attempt to model uncertainty in the data by assuming that the input is specified by a probability distribution. We consider the wellstudied paradigm of 2stage models with recourse: first, given only distributional information about (some of) the data one commits on ..."
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Cited by 27 (5 self)
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Stochastic optimization problems attempt to model uncertainty in the data by assuming that the input is specified by a probability distribution. We consider the wellstudied paradigm of 2stage models with recourse: first, given only distributional information about (some of) the data one commits on initial actions, and then once the actual data is realized (according to the distribution), further (recourse) actions can be taken. We show that for a broad class of 2stage linear models with recourse, one can, for any ɛ> 0, in time polynomial in 1 ɛ and the size of the input, compute a solution of value within a factor (1 + ɛ) of the optimum, in spite of the fact that exponentially many secondstage scenarios may occur. In conjunction with a suitable rounding scheme, this yields the first approximation algorithms for 2stage stochastic integer optimization problems where the underlying random data is given by a “black box ” and no restrictions are placed on the costs in the two stages. Our rounding approach for stochastic integer programs shows that an approximation algorithm for a deterministic analogue yields, with a small constantfactor loss, provably nearoptimal solutions for the stochastic generalization. Among the range of applications we consider are stochastic versions of the multicommodity flow, set cover, vertex cover, and facility location problems.
A robust optimization approach to supply chain management
 Operations Research
, 2003
"... Abstract. We propose a general methodology based on robust optimization to address the problem of optimally controlling a supply chain subject to stochastic demand in discrete time. The attractive features of the proposed approach are: (a) It incorporates a wide variety of phenomena, including deman ..."
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Cited by 25 (3 self)
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Abstract. We propose a general methodology based on robust optimization to address the problem of optimally controlling a supply chain subject to stochastic demand in discrete time. The attractive features of the proposed approach are: (a) It incorporates a wide variety of phenomena, including demands that are not identically distributed over time and capacity on the echelons and links; (b) it uses very little information on the demand distributions; (c) it leads to qualitatively similar optimal policies (basestock policies) as in dynamic programming; (d) it is numerically tractable for large scale supply chain problems even in networks, where dynamic programming methods face serious dimensionality problems; (e) in preliminary computational experiments, it often outperforms dynamic programming based solutions for a wide range of parameters. 1
Integerprogramming software systems
 Annals of Operations Research
, 1995
"... Abstract. Recent developments in integer–programming software systems have tremendously improved our ability to solve large–scale instances. We review the major algorithmic components of state–of–the–art solvers and discuss the options available to users to adjust the behavior of these solvers when ..."
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Cited by 24 (0 self)
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Abstract. Recent developments in integer–programming software systems have tremendously improved our ability to solve large–scale instances. We review the major algorithmic components of state–of–the–art solvers and discuss the options available to users to adjust the behavior of these solvers when default settings do not achieve the desired performance level. Furthermore, we highlight advances towards integrated modeling and solution environments. We conclude with a discussion of model characteristics and substructures that pose challenges for integer–programming software systems and a perspective on features we may expect to see in these systems in the near future. 1.
Theory and applications of Robust Optimization
, 2007
"... In this paper we survey the primary research, both theoretical and applied, in the field of Robust Optimization (RO). Our focus will be on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying the most pr ..."
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Cited by 23 (5 self)
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In this paper we survey the primary research, both theoretical and applied, in the field of Robust Optimization (RO). Our focus will be on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying the most prominent theoretical results of RO over the past decade, we will also present some recent results linking RO to adaptable models for multistage decisionmaking problems. Finally, we will highlight successful applications of RO across a wide spectrum of domains, including, but not limited to, finance, statistics, learning, and engineering.