A utility theory based interactive approach to robustness in linear optimization

DOI10.1007/S10898-017-0581-2zbMATH Open1400.90299arXiv1312.4489OpenAlexW3100768149MaRDI QIDQ1753136FDOQ1753136

Authors: Mehdi Karimi, Somayeh Moazeni, Levent Tunçel 

Publication date: 25 May 2018

Published in: Journal of Global Optimization (Search for Journal in Brave)

Abstract: We treat uncertain linear programming problems by utilizing the notion of weighted analytic centers and notions from the area of multi-criteria decision making. After introducing our approach, we develop interactive cutting-plane algorithms for robust optimization, based on concave and quasi-concave utility functions. In addition to practical advantages, due to the flexibility of our approach, we are able to prove that under a theoretical framework due to Bertsimas and Sim [14], which establishes the existence of certain convex formulation of robust optimization problems, the robust optimal solutions generated by our algorithms are at least as desirable to the decision maker as any solution generated by many other robust optimization algorithms in the theoretical framework. We present some probabilistic bounds for feasibility of robust solutions and evaluate our approach by means of computational experiments.

Full work available at URL: https://arxiv.org/abs/1312.4489

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zbMATH Keywords

robust optimizationlinear optimizationcutting-plane algorithmsinteractive decision makinguncertainty in dataweighted analytic centers

Mathematics Subject Classification ID

Stochastic programming (90C15) Minimax problems in mathematical programming (90C47)

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Cited In (3)

• A utility theory based interactive approach to robustness in linear optimization
• Robust optimization of recommendation sets with the maximin utility criterion
• Approximate cutting plane approaches for exact solutions to robust optimization problems

Uses Software

• ROME

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