On the relation between affinely adjustable robust linear complementarity and mixed-integer linear feasibility problems

被引:1
作者
Biefel, Christian [1 ]
Schmidt, Martin [1 ]
机构
[1] Trier Univ, Dept Math, Univ Ring 15, D-54296 Trier, Germany
关键词
Linear complementarity problems; Adjustable robustness; Robust optimization; Mixed-integer linear optimization;
D O I
10.1007/s11590-023-02093-7
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We consider adjustable robust linear complementarity problems and extend the results of Biefel et al. (SIAM J Optim 32:152-172, 2022) towards convex and compact uncertainty sets. Moreover, for the case of polyhedral uncertainty sets, we prove that computing an adjustable robust solution of a given linear complementarity problem is equivalent to solving a properly chosen mixed-integer linear feasibility problem.
引用
收藏
页码:1303 / 1311
页数:9
相关论文
共 21 条
  • [1] A two-phase algorithm for the multiparametric linear complementarity problem
    Adelgren, Nathan
    Wiecek, Margaret M.
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2016, 254 (03) : 715 - 738
  • [2] Adjustable robust solutions of uncertain linear programs
    Ben-Tal, A
    Goryashko, A
    Guslitzer, E
    Nemirovski, A
    [J]. MATHEMATICAL PROGRAMMING, 2004, 99 (02) : 351 - 376
  • [3] The price of robustness
    Bertsimas, D
    Sim, M
    [J]. OPERATIONS RESEARCH, 2004, 52 (01) : 35 - 53
  • [4] Robust discrete optimization and network flows
    Bertsimas, D
    Sim, M
    [J]. MATHEMATICAL PROGRAMMING, 2003, 98 (1-3) : 49 - 71
  • [5] AFFINELY ADJUSTABLE ROBUST LINEAR COMPLEMENTARITY PROBLEMS
    Biefel, Christian
    Liers, Frauke
    Rolfes, Jan
    Schmidt, Martin
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2022, 32 (01) : 152 - 172
  • [6] Çelebi E, 2023, ENERGY SYST, V14, P759, DOI 10.1007/s12667-020-00411-x
  • [7] Robust solution of monotone stochastic linear complementarity problems
    Chen, Xiaojun
    Zhang, Chao
    Fukushima, Masao
    [J]. MATHEMATICAL PROGRAMMING, 2009, 117 (1-2) : 51 - 80
  • [8] STOCHASTIC VARIATIONAL INEQUALITIES: RESIDUAL MINIMIZATION SMOOTHING SAMPLE AVERAGE APPROXIMATIONS
    Chen, Xiaojun
    Wets, Roger J-B
    Zhang, Yanfang
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2012, 22 (02) : 649 - 673
  • [9] Expected residual minimization method for stochastic linear complementarity problems
    Chen, XJ
    Fukushima, M
    [J]. MATHEMATICS OF OPERATIONS RESEARCH, 2005, 30 (04) : 1022 - 1038
  • [10] Cottle RW, 2009, CLASS APPL MATH, V60, P1