On the performance of affine policies for two-stage adaptive optimization: a geometric perspective
We consider two-stage adjustable robust linear optimization problems with uncertain right hand side b belonging to a convex and compact uncertainty set U. We provide an a priori approximation bound on the ratio of the optimal affine (in b) solution to the optimal adjustable solution that depends on...
| Main Authors: | , |
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| Other Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Springer Berlin Heidelberg,
2016-06-28T19:04:27Z.
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| Subjects: | |
| Online Access: | Get fulltext |