Robust Two-Stage and Multistage Optimization
Keyword(s):
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.
2020 ◽
Vol 77
(2)
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pp. 539-569
Keyword(s):
2019 ◽
Vol 12
(2)
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pp. 193-224
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2021 ◽
2007 ◽
Vol 181
(1)
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pp. 224-238
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2020 ◽
Vol 144
◽
pp. 102123
Keyword(s):
2013 ◽
Vol 41
(5)
◽
pp. 457-461
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