Adaptive robust optimization
Author: Woo Soo Choe (ChE 345 Spring 2015)
Steward: Dajun Yue, Fengqi You
Traditionally, robust optimization has solved problems based on static decisions which are predetermined by the decision makers. Once the decisions were made, the problem was solved and whenever a new uncertainty was realized, the uncertainty was incorporated to the original problem and the entire problem was solved again to account for the uncertainty. Generally, robust optimization problem is formulated as follows.
As an example problem which implements the previously covered methodology a warehouse and resource application problem is used.
Also, the data of the problem are given as such.
Furthermore, the variables of the problem are defined as follows
In this example, the problem is seen in multiple different approaches. In general, the location of the factories and the warehouses and the maximum capacities are the first-stage decision variables because the first-stage decisions must be made before the uncertainties are taken into account.
When the example problem is solved using the algorithm posed in methodology section yields the following result. [[File:
Consequently, the studied algorithm may not always guarantee the reduction of computing power or computing time, but by reducing the number of possible solutions to run, it provides a way for an adaptive robust optimization to cope with a highly complicated problem. Also, this approach has a relevance to the technique's learned in optimization classes. By controlling the scope of the different scenarios to try, further advance in adaptive robust optimization may be possible by making improvement in the already computationally taxing nature of adaptive robust optimization.
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