RCMARS: Robustification of CMARS with different scenarios under polyhedral uncertainty set |
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| Institution: | 1. Department of Business Administration at Bilkent University, Ankara, Turkey;2. Ministry of Energy and Natural Resources, Ankara, Turkey;1. Department of Financial and Management Engineering, University of the Aegean, 41 Kountouriotou str, Chios 82100, Greece;2. Department of International and European Economic Studies, Athens University of Economics and Business, 76 Patission Str, Athens 10434, Greece;3. Department of Statistics, Athens University of Economics and Business,76 Patission Str, Athens 10434, Greece;4. Laboratory of Stochastic Modelling and Applications, Athens University of Economics and Business,76 Patission Str, Athens 10434, Greece;5. Department of Economics, University of Bologna, 1, piazza Scaravilli, 40126, Bologna, Italy |
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| Abstract: | Our recently developed CMARS is powerful in handling complex and heterogeneous data. We include into CMARS the existence of uncertainty about the scenarios. Indeed, data include noise in both output and input variables. Therefore, solutions of the optimization problem may reveal a remarkable sensitivity to perturbations in the parameters of the problem. The data uncertainty results in uncertain constraints and objective function. To overcome this difficulty, we refine our CMARS algorithm by a robust optimization technique proposed to cope with data uncertainty. In our previous study, we present the new robust CMARS (RCMARS) in theory and method and illustrate it with a numerical example. In this study, we present RCMARS results with different uncertainty scenarios for our numerical example. |
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