On the Power of Robust Solutions in Two-Stage Stochastic and Adaptive Optimization Problems
We consider a two-stage mixed integer stochastic optimization problem and show that a static robust solution is a good approximation to the fully adaptable two-stage solution for the stochastic problem under fairly general assumptions on the uncertainty set and the probability distribution. In parti...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Institute for Operations Research and the Management Sciences
2012
|
| Online Access: | http://hdl.handle.net/1721.1/69831 https://orcid.org/0000-0002-1985-1003 |