A New Dual-Based Cutting Plane Algorithm for Nonlinear Adjustable Robust Optimization

This paper explores a class of nonlinear Adjustable Robust Optimization (ARO) problems, containing here-and-now and wait-and-see variables, with uncertainty in the objective function and constraints. By applying Fenchel’s duality on the wait-and-see variables, we obtain an equivalent dual reformulation, which is a nonlinear static robust optimization problem. Using the dual formulation, we provide conditions under which the ARO problem is convex on the here-and-now decision. Furthermore, since the dual formulation contains a non-concave maximization on the uncertain parameter, we use perspective relaxation and an alternating method to handle the non-concavity. By employing the perspective relaxation, we obtain an upper bound, which we show is the same as the static relaxation of the considered problem. Moreover, invoking the alternating method, we design a new dual-based cutting plane algorithm that is able to find a reasonable lower bound for the optimal objective value of the considered nonlinear ARO model. In addition to sketching and establishing the theoretical features of the algorithms, including convergence analysis, by numerical experiments we reveal the abilities of our cutting plane algorithm in producing locally robust solutions with an acceptable optimality gap.

Article

Download

View PDF