dc.contributor.author | Bidkhori, Hoda | |
dc.contributor.author | Bertsimas, Dimitris J | |
dc.date.accessioned | 2016-06-28T19:04:27Z | |
dc.date.available | 2016-06-28T19:04:27Z | |
dc.date.issued | 2014-09 | |
dc.date.submitted | 2013-03 | |
dc.identifier.issn | 0025-5610 | |
dc.identifier.issn | 1436-4646 | |
dc.identifier.uri | http://hdl.handle.net/1721.1/103369 | |
dc.description.abstract | We consider two-stage adjustable robust linear optimization problems with uncertain right hand side b belonging to a convex and compact uncertainty set U. We provide an a priori approximation bound on the ratio of the optimal affine (in b) solution to the optimal adjustable solution that depends on two fundamental geometric properties of U: (a) the “symmetry” and (b) the “simplex dilation factor” of the uncertainty set U and provides deeper insight on the power of affine policies for this class of problems. The bound improves upon a priori bounds obtained for robust and affine policies proposed in the literature. We also find that the proposed a priori bound is quite close to a posteriori bounds computed in specific instances of an inventory control problem, illustrating that the proposed bound is informative. | en_US |
dc.publisher | Springer Berlin Heidelberg | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1007/s10107-014-0818-5 | en_US |
dc.rights | Creative Commons Attribution-Noncommercial-Share Alike | en_US |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/4.0/ | en_US |
dc.source | Springer Berlin Heidelberg | en_US |
dc.title | On the performance of affine policies for two-stage adaptive optimization: a geometric perspective | en_US |
dc.type | Article | en_US |
dc.identifier.citation | Bertsimas, Dimitris, and Hoda Bidkhori. “On the Performance of Affine Policies for Two-Stage Adaptive Optimization: a Geometric Perspective.” Math. Program. 153, no. 2 (September 26, 2014): 577–594. | en_US |
dc.contributor.department | Massachusetts Institute of Technology. Operations Research Center | en_US |
dc.contributor.department | Sloan School of Management | en_US |
dc.contributor.mitauthor | Bertsimas, Dimitris J. | en_US |
dc.contributor.mitauthor | Bidkhori, Hoda | en_US |
dc.relation.journal | Mathematical Programming | en_US |
dc.eprint.version | Author's final manuscript | en_US |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
dc.date.updated | 2016-05-23T12:11:16Z | |
dc.language.rfc3066 | en | |
dc.rights.holder | Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society | |
dspace.orderedauthors | Bertsimas, Dimitris; Bidkhori, Hoda | en_US |
dspace.embargo.terms | N | en |
dc.identifier.orcid | https://orcid.org/0000-0002-1985-1003 | |
dc.identifier.orcid | https://orcid.org/0000-0002-0900-1814 | |
mit.license | OPEN_ACCESS_POLICY | en_US |