Robust Two-Stage and Multistage Optimization: Complexity Issues and Applications

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Author(s): Michel Andre Minoux (University P. and M. Curie, France)
Copyright: 2016
Pages: 41
Source title: Handbook of Research on Modern Optimization Algorithms and Applications in Engineering and Economics
Source Author(s)/Editor(s): Pandian Vasant (University of Technology Petronas, Malaysia), Gerhard-Wilhelm Weber (Middle East Technical University, Turkey)and Vo Ngoc Dieu (Ho Chi Minh City University of Technology, Vietnam)
DOI: 10.4018/978-1-4666-9644-0.ch002

Keywords: Algorithms / Artificial Intelligence / Computer Science & IT / Information Science Reference

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Abstract

This chapter is intended as an overview of robust optimization models related to optimization problems subject to uncertain data, with special focus on the case when uncertainty impacts the right-hand side coefficients in the constraints. Two-stage as well as multistage models are addressed, emphasizing links with applications and computational complexity issues. A class of multistage robust optimization problems for which exact optimal strategies can be efficiently computed (via a robust dynamic programming recursion) is discussed. An application to a multiperiod energy production planning problem is presented into detail, and computational results are reported.

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