A New Theoretical Framework for Robust Optimization Under Multi-Band Uncertainty
نویسندگان
چکیده
We provide an overview of our main results about studying Linear Programming Problems whose coefficient matrix is subject to uncertainty and the uncertainty is modeled through a multi-band set. Such an uncertainty set generalizes the classical one proposed by Bertsimas and Sim [3] and is particularly suitable in the common case of arbitrary non-symmetric distributions of the parameters. Our investigations were inspired by practical needs of our industrial partner in ongoing projects with focus on the design of robust telecommunications networks.
منابع مشابه
A hybrid solution approach for a multi-objective closed-loop logistics network under uncertainty
The design of closed-loop logistics (forward and reverse logistics) has attracted growing attention with the stringent pressures of customer expectations, environmental concerns and economic factors. This paper considers a multi-product, multi-period and multi-objective closed-loop logistics network model with regard to facility expansion as a facility location–allocation problem, which more cl...
متن کاملA Robust Optimization Methodology for Multi-objective Location-transportation Problem in Disaster Response Phase under Uncertainty
This paper presents a multi-objective model for location-transportation problem under uncertainty that has been developed to respond to crisis. In the proposed model, humanitarian aid distribution centers (HADC), the number and location of them, the amount of relief goods stored in distribution centers, the amount of relief goods sent to the disaster zone, the number of injured people transferr...
متن کاملOptimal Cropping Pattern Modifications with the Aim of Environmental-Economic Decision Making Under Uncertainty
Sustainability in agricultural is determined by aspects like economy, society and environment. Multi-objective programming (MOP) model has been a widely used tool for studying and analyzing the sustainability of agricultural system. However, optimization models in most applications are forced to use data which is uncertain. Recently, robust optimization has been used as an optimization model th...
متن کاملRobustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملRobust Optimization under Multi-band Uncertainty - Part I: Theory
The classical single-band uncertainty model introduced by Bertsimas and Sim [8] has represented a breakthrough in the development of tractable robust counterparts of Linear Programs. However, adopting a single deviation band may be too limitative in practice: in many real-world problems, observed deviations indeed present asymmetric distributions over asymmetric ranges, so that getting a higher...
متن کامل