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Performance Analysis in Robust Optimization

  • We discuss the problem of evaluating a robust solution. To this end, we first give a short primer on how to apply robustification approaches to uncertain optimization problems using the assignment problem and the knapsack problem as illustrative examples. As it is not immediately clear in practice which such robustness approach is suitable for the problem at hand, we present current approaches for evaluating and comparing robustness from the literature, and introduce the new concept of a scenario curve. Using the methods presented in this paper, an easy guide is given to the decision maker to find, solve and compare the best robust optimization method for his purposes.

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Author:André Chassein, Marc Goerigk
URN (permanent link):urn:nbn:de:hbz:386-kluedo-42273
Document Type:Preprint
Language of publication:English
Publication Date:2015/11/17
Year of Publication:2015
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2015/11/18
Number of page:25
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
Licence (German):Standard gemäß KLUEDO-Leitlinien vom 30.07.2015