Mpro 5
Mpro 5
Robust Optimization:
Adaptive Case
V. Leclère (ENPC)
Contents
1 Fourier-Motzkin Elimination
This problem is static or one-stage because the decision maker has to choose x before
knowing the realization of ξ.
In the two-stage or adaptive case, the decision maker can choose a recourse decision y
after observing the realization of ξ:
This problem is static or one-stage because the decision maker has to choose x before
knowing the realization of ξ.
In the two-stage or adaptive case, the decision maker can choose a recourse decision y
after observing the realization of ξ:
Example
Solve the following example by eliminating the recourse variables:
min x
x∈R,y ∈R[0,1]
s.t. x − yξ ≤ −ξ ∀ξ ∈ [0, 1]
1
− x + yξ ≤ ξ + ∀ξ ∈ [0, 1]
2
yξ ≥ 1 ∀ξ ∈ [0, 1]
Example
Solve the following example by eliminating the recourse variables:
min x
x∈R,y ∈R[0,1]
s.t. x − yξ ≤ −ξ ∀ξ ∈ [0, 1]
1
− x + yξ ≤ ξ + ∀ξ ∈ [0, 1]
2
yξ ≥ 1 ∀ξ ∈ [0, 1]
The constraints are equivalent to:
yξ ≥ x +ξ ( n o
1 max 1, ξ + 12 ≤ yξ ≤ 1 + ξ
y ≤ x +ξ+ ⇐⇒
ξ 2
1 ≤ x +ξ+ 1
yξ ≥ 1 2
min x
x,y (·)
1
s.t. x − y1 (ξ) ≤ ξ1 ∀ξ1 ∈ [0, ]
2
3
− x + y1 (ξ) + y2 (ξ) ≤ ξ2 + 3ξ3 + ∀ξ2 , ξ3 ∈ [0, 1]2
2
3
1 ≤ y1 (ξ) ≤
2
1 ≤ y2 (ξ)
➥ this problem has constraint-wise uncertainty because the ξ1 affect only the first
constraint, and the ξ2 , ξ3 affect only the second constraint.
( n o n o
max 1, 0.5 + ξ1 ≤ y1 (ξ) ≤ min 1.5, 1 + ξ2 + 3ξ3
1 ≤ y2 (ξ) ≤ 2 + ξ2 + 3ξ3 − y1 (ξ)
➥ ξ1 appears only on the left-hand side of the first constraint, so we can replace it
with its maximum value 0.5;
similarly, ξ2 , ξ3 appear only on the right-hand side of the second constraint, so we can
replace them with their minimum value 0.
➥ The optimal recourse is y1 (ξ) = y2 (ξ) = 1, that is a constant recourse.
( n o n o
max 1, 0.5 + ξ1 ≤ y1 (ξ) ≤ min 1.5, 1 + ξ2 + 3ξ3
1 ≤ y2 (ξ) ≤ 2 + ξ2 + 3ξ3 − y1 (ξ)
➥ ξ1 appears only on the left-hand side of the first constraint, so we can replace it
with its maximum value 0.5;
similarly, ξ2 , ξ3 appear only on the right-hand side of the second constraint, so we can
replace them with their minimum value 0.
➥ The optimal recourse is y1 (ξ) = y2 (ξ) = 1, that is a constant recourse.
( n o n o
max 1, 0.5 + ξ1 ≤ y1 (ξ) ≤ min 1.5, 1 + ξ2 + 3ξ3
1 ≤ y2 (ξ) ≤ 2 + ξ2 + 3ξ3 − y1 (ξ)
➥ ξ1 appears only on the left-hand side of the first constraint, so we can replace it
with its maximum value 0.5;
similarly, ξ2 , ξ3 appear only on the right-hand side of the second constraint, so we can
replace them with their minimum value 0.
➥ The optimal recourse is y1 (ξ) = y2 (ξ) = 1, that is a constant recourse.
( n o n o
max 1, 0.5 + ξ1 ≤ y1 (ξ) ≤ min 1.5, 1 + ξ2 + 3ξ3
1 ≤ y2 (ξ) ≤ 2 + ξ2 + 3ξ3 − y1 (ξ)
➥ ξ1 appears only on the left-hand side of the first constraint, so we can replace it
with its maximum value 0.5;
similarly, ξ2 , ξ3 appear only on the right-hand side of the second constraint, so we can
replace them with their minimum value 0.
➥ The optimal recourse is y1 (ξ) = y2 (ξ) = 1, that is a constant recourse.
( n o n o
max 1, 0.5 + ξ1 ≤ y1 (ξ) ≤ min 1.5, 1 + ξ2 + 3ξ3
1 ≤ y2 (ξ) ≤ 2 + ξ2 + 3ξ3 − y1 (ξ)
➥ ξ1 appears only on the left-hand side of the first constraint, so we can replace it
with its maximum value 0.5;
similarly, ξ2 , ξ3 appear only on the right-hand side of the second constraint, so we can
replace them with their minimum value 0.
➥ The optimal recourse is y1 (ξ) = y2 (ξ) = 1, that is a constant recourse.
For linear two-stage robust optimization problems, we can find an optimal recourse
that is piecewise-linear in the uncertainty ξ.
Contents
1 Fourier-Motzkin Elimination
min c ⊤ x + max d ⊤ yξ
x,y (·) ξ∈R
s.t. Aξ x + Bξ yξ ≤ bξ ∀ξ ∈ R
x ∈ X , yξ ≥ 0 ∀ξ ∈ R
With n o
Ṽ (x, ξ) := min d ⊤ yξ Aξ x + Bξ yξ ≤ bξ
yξ ≥0
min c ⊤ x + max d ⊤ yξ
x,y (·) ξ∈R
s.t. Aξ x + Bξ yξ ≤ bξ ∀ξ ∈ R
x ∈ X , yξ ≥ 0 ∀ξ ∈ R
With n o
Ṽ (x, ξ) := min d ⊤ yξ Aξ x + Bξ yξ ≤ bξ
yξ ≥0
Contents
1 Fourier-Motzkin Elimination
min c ⊤ x + max d ⊤ yξ
x,y (·) ξ∈R
s.t. Aξ x + Bξ yξ ≤ bξ ∀ξ ∈ R
x∈ Rp+ , yξ ∈ Rq+ ∀ξ ∈ R
yξ = V ξ + u
min c ⊤ x + max d ⊤ (V ξ + u)
x,u,V ξ∈R
s.t. Aξ x + Bξ V ξ + Bξ u ≤ bξ ∀ξ ∈ R
x ≥ 0, V ξ + u ≥ 0 ∀ξ ∈ R
yξ = V ξ + u
min c ⊤ x + max d ⊤ (V ξ + u)
x,u,V ξ∈R
s.t. Aξ x + Bξ V ξ + Bξ u ≤ bξ ∀ξ ∈ R
x ≥ 0, V ξ + u ≥ 0 ∀ξ ∈ R
Contents
1 Fourier-Motzkin Elimination
Partition methodology
In order to simplify the problem, we can partition the uncertainty set R into a finite
number of subsets R1 , . . . , RK , and associate a recourse to each yk .
Thus, the two-stage problem becomes:
s.t. g (x, ξ, yk ≤ 0 ∀k ∈ [K ], ∀ξ ∈ Rk