Finite Adaptability in Multistage Linear Optimization
Author(s)
Bertsimas, Dimitris J.; Caramanis, Constantine
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In multistage problems, decisions are implemented sequentially, and thus may depend on past realizations of the uncertainty. Examples of such problems abound in applications of stochastic control and operations research; yet, where robust optimization has made great progress in providing a tractable formulation for a broad class of single-stage optimization problems with uncertainty, multistage problems present significant tractability challenges. In this paper we consider an adaptability model designed with discrete second stage variables in mind. We propose a hierarchy of increasing adaptability that bridges the gap between the static robust formulation, and the fully adaptable formulation. We study the geometry, complexity, formulations, algorithms, examples and computational results for finite adaptability. In contrast to the model of affine adaptability proposed in, our proposed framework can accommodate discrete variables. In terms of performance for continuous linear optimization, the two frameworks are complementary, in the sense that we provide examples that the proposed framework provides stronger solutions and vice versa. We prove a positive tractability result in the regime where we expect finite adaptability to perform well, and illustrate this claim with an application to Air Traffic Control.
Date issued
2010-05Department
Sloan School of ManagementJournal
IEEE transactions on automatic control
Publisher
Institute of Electrical and Electronics Engineers / IEEE Control Systems Society
Citation
Bertsimas, D., and C. Caramanis. “Finite Adaptability in Multistage Linear Optimization.” Automatic Control, IEEE Transactions On 55.12 (2010) : 2751-2766. Copyright © 2010, IEEE
Version: Final published version
Other identifiers
INSPEC Accession Number: 11685058
ISSN
0018-9286