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2016

K-adaptability in two-stage distributionally robust binary programming

11 months 18 days ago
K-adaptability in two-stage distributionally robust binary programming
We propose to approximate two-stage distributionally robust programs with binary recourse decisions by their associated K-adaptability problems, which pre-select K candidate secondstage policies here-and-now and implement the best of these policies once the uncertain parameters have been observed. We analyze the approximation quality and the computational complexity of the K-adaptability problem, and we derive explicit mixed-integer linear programming reformulations. We also provide efficient procedures for bounding the probabilities with which each of the K second-stage policies is selected.
Grani Adiwena Hanasusanto, Daniel Kuhn, Wolfram Wi
Added 08 Apr 2016
Updated 08 Apr 2016
Type Journal
Year 2016
Where ORL
Authors Grani Adiwena Hanasusanto, Daniel Kuhn, Wolfram Wiesemann
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