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...

Full description

Bibliographic Details
Main Authors: Bertsimas, Dimitris J. (Contributor), Bidkhori, Hoda (Contributor)
Other Authors: Massachusetts Institute of Technology. Operations Research Center (Contributor), Sloan School of Management (Contributor)
Format: Article
Language:English
Published: Springer Berlin Heidelberg, 2016-06-28T19:04:27Z.
Subjects:
Online Access:Get fulltext

Similar Items