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Abstract
We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty set. Afterwards, the decision maker can react to this scenario by completing the partial first-stage solution to a full solution.
We extend this classic setting by adding another adversary stage after the second decision-maker stage, which results in min-max-min-max problems, thus pushing two-stage settings further towards more general multi-stage problems. We focus on budgeted uncertainty sets and consider both the continuous and discrete case. For the former, we show that a wide range of robust combinatorial optimization problems can be decomposed into polynomially many subproblems, which can be solved in polynomial time for example in the case of (representative) selection. For the latter, we prove NP-hardness for a wide range of problems, but note that the special case where first- and second-stage adversarial costs are equal can remain solvable in polynomial time.
We extend this classic setting by adding another adversary stage after the second decision-maker stage, which results in min-max-min-max problems, thus pushing two-stage settings further towards more general multi-stage problems. We focus on budgeted uncertainty sets and consider both the continuous and discrete case. For the former, we show that a wide range of robust combinatorial optimization problems can be decomposed into polynomially many subproblems, which can be solved in polynomial time for example in the case of (representative) selection. For the latter, we prove NP-hardness for a wide range of problems, but note that the special case where first- and second-stage adversarial costs are equal can remain solvable in polynomial time.
Original language | English |
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Pages (from-to) | 62-78 |
Number of pages | 17 |
Journal | European Journal of Operational Research |
Volume | 302 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Oct 2022 |
Keywords
- Robustness and sensitivity analysis
- Robust optimization
- Combinatorial optimization
- Budgeted uncertainty
- Multistage optimization
ASJC Scopus subject areas
- Information Systems and Management
- General Computer Science
- Industrial and Manufacturing Engineering
- Modelling and Simulation
- Management Science and Operations Research
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Doctoral Program: Discrete Mathematics
Ebner, O., Lehner, F., Greinecker, F., Burkard, R., Wallner, J., Elsholtz, C., Woess, W., Raseta, M., Bazarova, A., Krenn, D., Lehner, F., Kang, M., Tichy, R., Sava-Huss, E., Klinz, B., Heuberger, C., Grabner, P., Barroero, F., Cuno, J., Kreso, D., Berkes, I. & Kerber, M.
1/05/10 → 30/06/24
Project: Research project