2 research outputs found
Two-stage robust optimization, state-space representable uncertainty and applications
The present paper addresses the class of two-stage robust optimization problems which can
be formulated as mathematical programs with uncertainty on the right-hand side
coefficients (RHS uncertainty). The wide variety of applications and the fact that many
problems in the class have been shown to be NP-hard, motivates the search for efficiently
solvable special cases. Accordingly, the first objective of the paper is to provide an
overview of the most important applications and of various polynomial or pseudo-polynomial
special cases identified so far. The second objective is to introduce a new subclass of
polynomially solvable robust optimization problems with RHS uncertainty based on the
concept of state-space representable uncertainty sets. A typical
application to a multi period energy production problem under uncertain customer load
requirements is described into details, and computational results including a comparison
between optimal two-stage solutions and exact optimal multistage strategies are
discussed