A practical guide to robust optimization. (June 2015)

• Record Type: Journal Article
• Authors: Gorissen, Bram L.; Yanıkoğlu, İhsan; den Hertog, Dick
• Is Part Of: Omega. Volume 53(2015:Jun.)
• Page Start: 124
• Page End: 137
• Publication Date: 2015-06
• Subjects: Robust optimization -- Adjustable robust optimization; Management -- Periodicals; 658.4005
• DOI: 10.1016/j.omega.2014.12.006
• Languages: English
• ISSNs: 0305-0483

Abstract

Abstract: Robust optimization is a young and active research field that has been mainly developed in the last 15 years. Robust optimization is very useful for practice, since it is tailored to the information at hand, and it leads to computationally tractable formulations. It is therefore remarkable that real-life applications of robust optimization are still lagging behind; there is much more potential for real-life applications than has been exploited hitherto. The aim of this paper is to help practitioners to understand robust optimization and to successfully apply it in practice. We provide a brief introduction to robust optimization, and also describe important do׳s and don׳ts for using it in practice. We use many small examples to illustrate our discussions. Abstract : Highlights: There is large potential for real-life applications of robust optimization. The aim of the paper is to help practitioners understand and successfully apply robust optimization. We give a step-by-step procedure for applying robust optimization. We describe important do׳s and don׳ts for robust optimization. We provide illustrative examples to provide valuable insights.