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Conditions under which adjustability lowers the cost of a robust linear program
Industrial and Manufacturing Systems Engineering Technical Reports and White Papers
  • Ali Haddad-Sisakht, Iowa State University
  • Sarah M. Ryan, Iowa State University
Document Type
Article
Publication Date
6-1-2016
Abstract

The adjustable robust counterpart (ARC) of an uncertain linear program extends the robust counterpart (RC) by allowing some decision variables to adjust to the realizations of some uncertain parameters. The ARC may product a less conservative solution than the RC does but cases are known in which it does not. While the literature documents some examples of cost savings provided by adjustability (particularly affine adjustability), it is not straightforward to determine in advance whether they will materialize. The affine adjustable robust counterpart, while having a tractable structure, still may be much larger than the original problem. We establish conditions under which affine adjustability may lover the optimal cost with a numerical condition that can be checked in small representative instances. As demonstrated in applications, the conditions provide insights into constraint relationships that allow adjustability to make a difference.

Comments

This is a manuscript of a technical report, June 2015. Posted with permission.

Language
en
File Format
application/pdf
Citation Information
Ali Haddad-Sisakht and Sarah M. Ryan. "Conditions under which adjustability lowers the cost of a robust linear program" (2016)
Available at: http://works.bepress.com/sarah_m_ryan/34/