Robust CARA Optimization

被引:3
作者
Chen, Li [1 ]
Sim, Melvyn [2 ]
机构
[1] Univ Sydney, Discipline Business Analyt, Sydney, NSW 2006, Australia
[2] Natl Univ Singapore, NUS Business Sch, Dept Analyt & Operat, Singapore 119245, Singapore
关键词
robust optimization; constant absolute risk aversion; exponential cone; VALUE-AT-RISK; DECISION; UTILITY; APPROXIMATION; UNCERTAINTY; AVERSION; MODEL;
D O I
10.1287/opre.2021.0654
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
We propose robust optimization models and their tractable approximations that cater for ambiguity -averse decision makers whose underlying risk preferences are consistent with constant absolute risk aversion (CARA). Specifically, we focus on maximizing the worst -case expected exponential utility where the underlying uncertainty is generated from a set of stochastically independent factors with ambiguous marginals. To obtain computationally tractable formulations, we propose a hierarchy of approximations, starting from formulating the objective function as tractable concave functions in affinely perturbed cases, developing approximations in concave piecewise affinely perturbed cases, and proposing new multideflected linear decision rules for adaptive optimization models. We also extend the framework to address a multiperiod consumption model. The resultant models would take the form of an exponential conic optimization problem (ECOP), which can be practicably solved using current off -the -shelf solvers. We present numerical examples including project management and multiperiod inventory management with financing to illustrate how our approach can be applied to obtain high -quality solutions that could outperform current stochastic optimization approaches, especially in situations with high risk aversion levels.
引用
收藏
页数:21
相关论文
共 50 条
[31]   Robust Optimization of Multi-sourcing Strategies in Resilient Supply Chain [J].
Yan Ni-na ;
Sun Bao-wen .
2010 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE), 2010, :477-481
[32]   Robust optimization for lot-sizing problems under yield uncertainty [J].
Metzker, Paula ;
Thevenin, Simon ;
Adulyasak, Yossiri ;
Dolgui, Alexandre .
COMPUTERS & OPERATIONS RESEARCH, 2023, 149
[33]   A Stochastic Adaptive Robust Optimization Approach for the Generation and Transmission Expansion Planning [J].
Baringo, Luis ;
Baringo, Ana .
IEEE TRANSACTIONS ON POWER SYSTEMS, 2018, 33 (01) :792-802
[34]   Robust optimization approach for pricing and shelf space decisions with uncertain demand [J].
Sajadieh, M. S. ;
Danaei, M. .
SCIENTIA IRANICA, 2022, 29 (01) :303-319
[35]   Toward a Comprehensive and Efficient Robust Optimization Framework for (Bio)chemical Processes [J].
Xie, Xiangzhong ;
Schenkendorf, Rene ;
Krewer, Ulrike .
PROCESSES, 2018, 6 (10)
[36]   A novel worst case approach for robust optimization of large scale structures [J].
Lee, Se-Jung ;
Jeong, Min-Ho ;
Park, Gyung-Jin .
JOURNAL OF MECHANICAL SCIENCE AND TECHNOLOGY, 2018, 32 (09) :4255-4269
[37]   Robust optimization approximation for joint chance constrained optimization problem [J].
Yuan, Yuan ;
Li, Zukui ;
Huang, Biao .
JOURNAL OF GLOBAL OPTIMIZATION, 2017, 67 (04) :805-827
[38]   Bulk-Robust combinatorial optimization [J].
Adjiashvili, David ;
Stiller, Sebastian ;
Zenklusen, Rico .
MATHEMATICAL PROGRAMMING, 2015, 149 (1-2) :361-390
[39]   Robust optimization for routing problems on trees [J].
Buettner, Sabine ;
Krumke, Sven O. .
TOP, 2016, 24 (02) :338-359
[40]   Robust optimization for routing problems on trees [J].
Sabine Büttner ;
Sven O. Krumke .
TOP, 2016, 24 :338-359