On robustness in nonconvex optimization with application to defense planning

DOI10.1016/J.ORL.2022.11.003MaRDI QIDQ6161271zbMATH OpenFDO

Authors Johannes O. Royset

Publication date 27 June 2023

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.09725

zbMATH Keywords

sensitivity analysisnonconvex optimizationrobustnessmilitary operations research

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Sensitivity, stability, parametric optimization (90C31) Robustness in mathematical programming (90C17)

Abstract: In the context of structured nonconvex optimization, we estimate the increase in minimum value for a decision that is robust to parameter perturbations as compared to the value of a nominal problem. The estimates rely on detailed expressions for subgradients and local Lipschitz moduli of min-value functions in nonconvex robust optimization and require only the solution of the nominal problem. The theoretical results are illustrated by examples from military operations research involving mixed-integer optimization models. Across 54 cases examined, the median error in estimating the increase in minimum value is 12%. Therefore, the derived expressions for subgradients and local Lipschitz moduli may accurately inform analysts about the possibility of obtaining cost-effective, parameter-robust decisions in nonconvex optimization.

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