Questions tagged [robust-optimization]

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3
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0answers
55 views

Derivative of sup(max) functions in distributionally robust optimization

In the distributionally robust optimization problem \begin{aligned} \min_{x\in X}\sup_{P\in\mathfrak{P}}\mathbb{E}_P[f(x,\xi)], \end{aligned} where $f:\mathbb{R}^n\to\mathbb{R}$ and $P$ is a ...
2
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1answer
85 views

Numerical problem regarding to classical benders cut of large scale problem

I am trying to implement benders decomposition for a simple two stage unit commitment problem. I implemented the classic Benders decomposition to add feasible cut and optimal cut to relax master ...
4
votes
1answer
69 views

Identify the specific parameters that reached their worst case in a robustly optimal solution

Assuming that we have a linear math model with $N$ bounded $[0,1]$ uncertain parameters $p_n$ within a typical polyhedral budget uncertainty set that says $\sum_{n}{p_n} \le \Gamma$. I want to find ...
9
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1answer
390 views

How is optimization under uncertainty done in real world applications?

In this post What is robust optimization? there is a nice introduction to robust optimization. There are many concept for uncertainty in optimization problems like robust optimization stochastic ...
5
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1answer
162 views

What is intended when we use "robustness", "resilience" and "reliability" in Operations Research?

I will use an example to detail my question but I would like you to keep in mind that I wanted to define: Robustness, Resillience, Reliability in the most general case within Operations Research. ...
6
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1answer
117 views

Is JuMPeR good enough for Robust Optimization problem?

I'm a graduate student studying Robust Optimization (RO). So far, I've been studied the theoretic point of RO, and now I am looking for an actual tool for solving RO problems, both for practice and ...
8
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1answer
222 views

What is robust optimization?

What is the academic definition of robust optimization? What are examples of robust optimization on: shift rostering vehicle routing problem facility location problem bin packing ...
3
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1answer
92 views

Robust/Stochastic optimization deployed in real-world systems/applications

In an applied project we are working on currently, we want to use robust or stochastic programming in order to enhance the performance of the systems (by reference to certain metrics). As you may ...
20
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3answers
1k views

Difference between stochastic optimization and robust optimization

I would like to know whether stochastic optimization and robust optimization are the same and if not, what is the main difference between them. I did an Internet search and I found the following ...
13
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1answer
160 views

Robust counterpart: why is dual reformulation not working?

I am trying to solve robust optimisation problems, but I am getting nonsensical solutions most of the time… Here is a very simplified example: \begin{alignat}{2}\max&\quad x+z&\\\text{s.t.}&...
8
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0answers
87 views

Calculating robustness of layout plans

We have tried to design a manufacturing cell which will produce specific families of products. We figure out three layout plans for implementation. For practical reasons, we need to calculate the ...
16
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4answers
918 views

Modeling the uncertainty of the input parameters

There are many approaches to deal with the uncertainty such as stochastic programming, robust optimization and fuzzy programming. Finding a suitable approach that is applicable in the real situations ...