A Bicriteria Approach to Robust Optimization

  • The classic approach in robust optimization is to optimize the solution with respect to the worst case scenario. This pessimistic approach yields solutions that perform best if the worst scenario happens, but also usually perform bad on average. A solution that optimizes the average performance on the other hand lacks in worst-case performance guarantee. In practice it is important to find a good compromise between these two solutions. We propose to deal with this problem by considering it from a bicriteria perspective. The Pareto curve of the bicriteria problem visualizes exactly how costly it is to ensure robustness and helps to choose the solution with the best balance between expected and guaranteed performance. Building upon a theoretical observation on the structure of Pareto solutions for problems with polyhedral feasible sets, we present a column generation approach that requires no direct solution of the computationally expensive worst-case problem. In computational experiments we demonstrate the effectivity of both the proposed algorithm, and the bicriteria perspective in general.

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Metadaten
Verfasserangaben:André Chassein, Marc Goerigk
URN (Permalink):urn:nbn:de:hbz:386-kluedo-39408
Dokumentart:Preprint
Sprache der Veröffentlichung:Englisch
Veröffentlichungsdatum (online):08.12.2014
Jahr der Veröffentlichung:2014
Veröffentlichende Institution:Technische Universität Kaiserslautern
Datum der Publikation (Server):08.12.2014
Seitenzahl:19
Fachbereiche / Organisatorische Einheiten:Fachbereich Mathematik
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 510 Mathematik
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vom 28.10.2014

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