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Robust Two-Stage and Multistage Optimization: Complexity Issues and Applications
Abstract
This chapter is intended as an overview of robust optimization models related to optimization problems subject to uncertain data, with special focus on the case when uncertainty impacts the right-hand side coefficients in the constraints. Two-stage as well as multistage models are addressed, emphasizing links with applications and computational complexity issues. A class of multistage robust optimization problems for which exact optimal strategies can be efficiently computed (via a robust dynamic programming recursion) is discussed. An application to a multiperiod energy production planning problem is presented into detail, and computational results are reported.
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