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Article
Conditions under which adjustability lowers the cost of a robust linear program
Annals of Operations Research
  • Ali Haddad-Sisakht, Iowa State University
  • Sarah M. Ryan, Iowa State University
Document Type
Article
Publication Version
Accepted Manuscript
Publication Date
10-1-2018
DOI
10.1007/s10479-018-2954-4
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 produce a less conservative and costly 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 lower 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 have its intended effect.

Comments

This is a post-peer-review, pre-copyedit version of an article published in Annals of Operations Research. The final authenticated version is available online at DOI: 10.1007/s10479-018-2954-4. Posted with permission.

Copyright Owner
Springer Science+Business Media, LLC
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" Annals of Operations Research Vol. 269 Iss. 1-2 (2018) p. 185 - 204
Available at: http://works.bepress.com/sarah_m_ryan/95/