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Communication Dans Un Congrès Année : 2022

Primal and dual decision rules for multi-stage robust optimization

Maryam Daryalal
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  • PersonId : 1129248
Merve Bodur
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  • PersonId : 1129249

Résumé

In this work, we adapt the recent decision rules introduced in the stochastic programming literature to multi-stage robust optimization both from the primal and the dual perspective. From the primal perspective, we propose two-stage decision rules that restrict the functional forms of state variables only. From the dual perspective, we first write a Lagrangian dual based on the relaxation of non-anticipativity constraints. We then apply decision rules to the Lagrangian multipliers. The resulting problems are challenging and require advanced techniques in their solution. Our methodology is illustrated with preliminary results on production planning and transportation problems.
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Dates et versions

hal-03596226 , version 1 (03-03-2022)

Identifiants

  • HAL Id : hal-03596226 , version 1

Citer

Ayse Arslan, Maryam Daryalal, Merve Bodur. Primal and dual decision rules for multi-stage robust optimization. 23ème congrès annuel de la Société Française de Recherche Opérationnelle et d'Aide à la Décision, INSA Lyon, Feb 2022, Villeurbanne - Lyon, France. ⟨hal-03596226⟩
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