Nonlinear Analysis and Optimization Seminar[ Edit ]
Moderator: Simeon Reich
Please see event no. 428.
We propose a methodology for constructing decision rules for integer and continuous decision variables in multiperiod robust linear optimization problems. This type of problem finds application in, for example, inventory management, lot sizing, and manpower management. We show that by iteratively splitting the uncertainty set into subsets, one can differentiate the later-period decisions based on the revealed uncertain parameters. At the same time, the problem's computational complexity stays at the same level as for the static robust problem. This also holds in the nonfixed recourse situation. In the fixed recourse situation our approach can be combined with linear decision rules for the continuous decision variables. We provide theoretical results on how to split the uncertainty set. Based on this theory, we propose several heuristics. Joint work with Dick den Hertog (Tilburg University).