Robust Counterparts of Inequalities Containing Sums of Maxima of Linear Functions

B.L. Gorissen, D. den Hertog

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Abstract

This paper adresses the robust counterparts of optimization problems containing sums of maxima of linear functions and proposes several reformulations. These problems include many practical problems, e.g. problems with sums of absolute values, and arise when taking the robust counterpart of a linear inequality that is affine in the decision variables, affine in a parameter with box uncertainty, and affine in a parameter with general uncertainty. In the literature, often the reformulation that is exact when there is no uncertainty is used. However, in robust optimization this reformulation gives an inferior solution and provides a pessimistic view. We observe that in many papers this conservatism is not mentioned. Some papers have recognized this problem, but existing solutions are either too conservative or their performance for different uncertainty regions is not known, a comparison between them is not available, and they are restricted to specific problems. We provide techniques for general problems and compare them with numerical examples in inventory management, regression and brachytherapy. Based on these examples, we give tractable recommendations for reducing the conservatism.
Original languageEnglish
Place of PublicationTilburg
PublisherOperations research
Volume2011-115
Publication statusPublished - 2011

Publication series

NameCentER Discussion Paper
Volume2011-115

Keywords

  • robust optimization
  • sum of maxima of linear functions
  • biaffine uncertainty
  • robust conic quadratic constraints

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    Gorissen, B. L., & den Hertog, D. (2011). Robust Counterparts of Inequalities Containing Sums of Maxima of Linear Functions. (CentER Discussion Paper; Vol. 2011-115). Operations research.