Seminar by Prof. Erick Delage, HEC Montreal
Event details
| Date | 12.08.2019 |
| Hour | 15:00 › 16:30 |
| Speaker | Prof. Erick Delage, HEC Montreal |
| Location | |
| Category | Conferences - Seminars |
"Adjustable Robust Optimization Reformulations of Two-Stage Worst-case Regret Minimization Problems"
Abstract
In this talk, we explore the idea that two-stage worst-case regret minimization problems with either objective or right-hand side uncertainty can be reformulated as two-stage robust optimization problems and can therefore benefit from the solution schemes and theoretical knowledge that have been developed in the last decade for this class of problems. In particular, we provide both numerical and theoretical evidence that in practice the first-stage decision obtained using affine decision rules is of high quality. We further evaluate both the sub-optimality and computational efficiency of this tractable approximation scheme in a multi-item newsvendor problem and a production transportation problem.
Abstract
In this talk, we explore the idea that two-stage worst-case regret minimization problems with either objective or right-hand side uncertainty can be reformulated as two-stage robust optimization problems and can therefore benefit from the solution schemes and theoretical knowledge that have been developed in the last decade for this class of problems. In particular, we provide both numerical and theoretical evidence that in practice the first-stage decision obtained using affine decision rules is of high quality. We further evaluate both the sub-optimality and computational efficiency of this tractable approximation scheme in a multi-item newsvendor problem and a production transportation problem.
Practical information
- General public
- Free