adaptability gap

Adjustability in Robust Linear Optimization

  • Ningji Wei
  • Peter Yun Zhang
    • Categories Robust Optimization Tags , ,

    We investigate the concept of adjustability — the difference in objective values between two types of dynamic robust optimization formulations: one where (static) decisions are made before uncertainty realization, and one where uncertainty is resolved before (adjustable) decisions. This difference reflects the value of information and decision timing in optimization under uncertainty, and is related … Read more

    On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems

  • Dimitris Bertsimas
  • Vineet Goyal
    • Categories Robust Optimization, Stochastic Programming Tags , , , ,

    We consider a two-stage mixed integer stochastic optimization problem and show that a static robust solution is a good approximation to the fully-adaptable two-stage solution for the stochastic problem under fairly general assumptions on the uncertainty set and the probability distribution. In particular, we show that if the right hand side of the constraints is … Read more