A New Method for Deriving Robust and Globalized Robust Solutions of Uncertain Linear Conic Optimization Problems Having General Convex Uncertainty Sets
CentER Discussion paper Series No. 2012-076
16 Pages Posted: 20 Sep 2012
Date Written: September 19, 2012
We propose a new way to derive tractable robust counterparts of a linear conic optimization problem by using the theory of Beck and Ben-Tal on the duality between the robust (“pessimistic”) primal problem and its “optimistic” dual. First, we obtain a new convex reformulation of the dual problem of a robust linear conic program, and then show how to construct the primal robust solution from the dual optimal solution. Our result allows many new uncertainty regions to be considered. We give examples of tractable uncertainty regions that were previously intractable. The results are illustrated by solving a multi-item newsvendor problem. We also propose a new globalized robust counterpart that is more flexible, and is tractable for general convex uncertainty sets and any convex distance function.
Keywords: robust optimization, general convex uncertainty regions, linear conic
JEL Classification: C61
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