(419g) Robust Optimization Using Polyhedral Norm and General Asymmetric Uncertainty Set
In the past, various types of uncertainty set ranging from simple boxes (Soyster, 1973) to more advanced conic-representable sets have been studied. Ben-Tal and Nemirovski (2000) introduced ellipsoidal type of uncertainty set for robust linear optimization. Bertsimas et al. (2004) introduced norm induced uncertainty set for robust linear optimization. This can lead to various symmetric set under different type of norms. Li et al. (2011) made a comparative study of various symmetric set induced robust optimization models. Yuan et al. (2016) studied robust linear optimization under correlated uncertainty, and demonstrated the advantage of introducing correlation information into the uncertainty set construction. A major motivation behind those different methods is that tractable linear robust counterpart optimization problems are obtained, which brings significant computational advantage.
In the existing studies, uncertainty set has been generally defined as the symmetric type. However, they may not be appropriate or be too conservative if the actual distribution is asymmetric. To capture the asymmetric distribution, Chen et al. (2007) introduced deviation measures to capture distributional asymmetry, however they assumed that the primitive uncertain parameters are independent. In this work, we investigate the robust linear optimization under uncertainty set induced from various type of polyhedral norms, including l-1 norm, l-infinity norm, D-norm, CVaR norm, deltoidal norm and general polyhedral norm. Furthermore, we introduced a novel method for asymmetric uncertainty set construction based on the distributional information or sampling data of uncertain parameters. The proposed method can be applied to general uncertainty distributions, where correlation between primitive uncertain parameters can be easily incorporated into the polyhedral norm induced uncertainty set. We also derived robust formulations under various polyhedral norms, which all lead to linear optimization problems. For all of those norm induced robust counterpart formulations, model complexity is compared to provide practical guidelines for uncertainty set construction. The asymmetric set induced robust optimization model is compared with the classical symmetric set induced robust optimization model. Numerical example and process design example are studied. Results demonstrate that using asymmetric uncertainty sets leads to less conservative robust solution.
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