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| Main Authors: | , , |
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| Format: | Preprint |
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2023
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2305.05399 |
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| _version_ | 1866910870581280768 |
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| author | Kedad-Sidhoum, Safia Medvedev, Anton Meunier, Frédéric |
| author_facet | Kedad-Sidhoum, Safia Medvedev, Anton Meunier, Frédéric |
| contents | Two-stage robust optimization is a fundamental paradigm for modeling and solving optimization problems with uncertain parameters. A now classical method within this paradigm is finite adaptability, introduced by Bertsimas and Caramanis (IEEE Transactions on Automatic Control, 2010). It consists in restricting the recourse to a finite number $k$ of possible values. In this work, we point out that the continuity assumption they stated to ensure the convergence of the method when $k$ goes to infinity is not correct, and we propose an alternative assumption for which we prove the desired convergence. Bertsimas and Caramanis also established that finite adaptability is NP-hard, even in the special case when $k=2$, the variables are continuous, and only specific parameters are subject to uncertainty. We provide a theorem showing that this special case becomes polynomial when the uncertainty set is a polytope with a bounded number of vertices, and we extend this theorem for $k=3$ as well. On our way, we establish new geometric results on coverings of polytopes with convex sets, which might be interesting for their own sake. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_05399 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Finite adaptability in two-stage robust optimization: asymptotic optimality and tractability Kedad-Sidhoum, Safia Medvedev, Anton Meunier, Frédéric Optimization and Control 90C17 Two-stage robust optimization is a fundamental paradigm for modeling and solving optimization problems with uncertain parameters. A now classical method within this paradigm is finite adaptability, introduced by Bertsimas and Caramanis (IEEE Transactions on Automatic Control, 2010). It consists in restricting the recourse to a finite number $k$ of possible values. In this work, we point out that the continuity assumption they stated to ensure the convergence of the method when $k$ goes to infinity is not correct, and we propose an alternative assumption for which we prove the desired convergence. Bertsimas and Caramanis also established that finite adaptability is NP-hard, even in the special case when $k=2$, the variables are continuous, and only specific parameters are subject to uncertainty. We provide a theorem showing that this special case becomes polynomial when the uncertainty set is a polytope with a bounded number of vertices, and we extend this theorem for $k=3$ as well. On our way, we establish new geometric results on coverings of polytopes with convex sets, which might be interesting for their own sake. |
| title | Finite adaptability in two-stage robust optimization: asymptotic optimality and tractability |
| topic | Optimization and Control 90C17 |
| url | https://arxiv.org/abs/2305.05399 |