A robust optimization perspective on stochastic programming

Xin Chen, Melvyn Sim, Peng Sun

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for random variables termed the forward and backward deviations. These deviation measures capture distributional asymmetry and lead to better approximations of chance constraints. Using a linear decision rule, we also propose a tractable approximation approach for solving a class of multistage chance-constrained stochastic linear optimization problems. An attractive feature of the framework is that we convert the original model into a second-order cone program, which is computationally tractable both in theory and in practice. We demonstrate the framework through an application of a project management problem with uncertain activity completion time.

Original languageEnglish (US)
Pages (from-to)1058-1071
Number of pages14
JournalOperations Research
Volume55
Issue number6
DOIs
StatePublished - Nov 2007

Keywords

  • Programming: stochastic

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research

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