Globalized Robust Optimization for Nonlinear Uncertain Inequalities
CentER Discussion Paper Series No. 2015-031
29 Pages Posted: 16 Jun 2015
Date Written: June 15, 2015
Robust optimization is a methodology that can be applied to problems that are affected by uncertainty in the problem’s parameters. The classical robust counterpart (RC) of the problem requires the solution to be feasible for all uncertain parameter values in a so-called uncertainty set, and offers no guarantees for parameter values outside this uncertainty set. The globalized robust counterpart (GRC) extends this idea by allowing controlled constraint violations in a larger uncertainty set. The constraint violations are controlled by the distance of the parameter to the original uncertainty set. We derive tractable GRCs that extend the initial GRCs in the literature: our GRC is applicable to nonlinear constraints instead of only linear or conic constraints, and the GRC is more flexible with respect to both the uncertainty set and distance measure function, which are used to control the constraint violations. In addition, we present a GRC approach that can be used to provide an extended trade-off overview between the objective value and several robustness measures.
Keywords: robust optimization, globalized robust counterpart, constraint
JEL Classification: C61, C63, M11
Suggested Citation: Suggested Citation