Campus Units

Industrial and Manufacturing Systems Engineering

Document Type

Article

Publication Version

Accepted Manuscript

Publication Date

10-2018

Journal or Book Title

Annals of Operations Research

Volume

269

Issue

1-2

First Page

185

Last Page

204

Research Focus Area(s)

​Operations Research

DOI

10.1007/s10479-018-2954-4

Abstract

The adjustable robust counterpart (ARC) of an uncertain linear program extends the robust counterpart (RC) by allowing some decision variables to adjust to the realizations of some uncertain parameters. The ARC may produce a less conservative and costly solution than the RC does but cases are known in which it does not. While the literature documents some examples of cost savings provided by adjustability (particularly affine adjustability), it is not straightforward to determine in advance whether they will materialize. The affine adjustable robust counterpart, while having a tractable structure, still may be much larger than the original problem. We establish conditions under which affine adjustability may lower the optimal cost with a numerical condition that can be checked in small representative instances. As demonstrated in applications, the conditions provide insights into constraint relationships that allow adjustability to have its intended effect.

Comments

This is a post-peer-review, pre-copyedit version of an article published in Annals of Operations Research. The final authenticated version is available online at DOI: 10.1007/s10479-018-2954-4. Posted with permission.

Copyright Owner

Springer Science+Business Media, LLC

Language

en

File Format

application/pdf

Available for download on Friday, June 28, 2019

Published Version

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