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T. Assavapokee M. J. Realff J. C. Ammons 《Journal of Optimization Theory and Applications》2008,137(2):297-316
This paper presents a three-stage optimization algorithm for solving two-stage deviation robust decision making problems under
uncertainty. The structure of the first-stage problem is a mixed integer linear program and the structure of the second-stage
problem is a linear program. Each uncertain model parameter can independently take its value from a real compact interval
with unknown probability distribution. The algorithm coordinates three mathematical programming formulations to iteratively
solve the overall problem. This paper provides the application of the algorithm on the robust facility location problem and
a counterexample illustrating the insufficiency of the solution obtained by considering only a finite number of scenarios
generated by the endpoints of all intervals.
This work was supported by the National Science Foundation through Grant DMI-0200162. 相似文献
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