Robust optimization

Robust optimization is a eld of optimization theory 3 Classication

that deals with optimization problems in which a certain
measure of robustness is sought against uncertainty that
There are a number of classication criteria for robust opcan be represented as deterministic variability in the value
timization problems/models. In particular, one can disof the parameters of the problem itself and/or its solution.
tinguish between problems dealing with local and global
models of robustness; and between probabilistic and
non-probabilistic models of robustness. Modern robust
1 History
optimization deals primarily with non-probabilistic models of robustness that are worst case oriented and as such
The origins of robust optimization date back to the estab- usually deploy Walds maximin models.
lishment of modern decision theory in the 1950s and the
use of worst case analysis and Walds maximin model
as a tool for the treatment of severe uncertainty. It became a discipline of its own in the 1970s with paral- 3.1 Local robustness
lel developments in several scientic and technological
elds. Over the years, it has been applied in statistics, but There are cases where robustness is sought against small
also in operations research,[1] control theory,[2] nance,[3] perturbations in a nominal value of a parameter. A very
portfolio management[4] logistics,[5] manufacturing en- popular model of local robustness is the radius of stability
gineering,[6] chemical engineering,[7] medicine,[8] and model:
computer science. In engineering problems, these formulations often take the name of Robust Design Optimization, RDO or Reliability Based Design Optimization,
RBDO.
(x, u
) := max { : u S(x), u B(, u
)}
0

where u
denotes the nominal value of the parameter,
B(, u
) denotes a ball of radius centered at u
and S(x)
denotes the set of values of u that satisfy given stability/performance conditions associated with decision x .

Example 1

Consider the following linear programming problem

In words, the robustness (radius of stability) of decision x

all of whose
max {3x+2y} subject to x, y 0; cx+dy 10, (c, d) isPthe radius of the largest ball centered at u
x,y
elements satisfy the stability requirements imposed on x
. The picture is this:
where P is a given subset of R2 .
What makes this a 'robust optimization' problem is the
(c, d) P clause in the constraints. Its implication
is that for a pair (x, y) to be admissible, the constraint
cx + dy 10 must be satised by the worst (c, d) P
pertaining to (x, y) , namely the pair (c, d) P that maximizes the value of cx + dy for the given value of (x, y)
.
If the parameter space P is nite (consisting of nitely
many elements), then this robust optimization problem
itself is a linear programming problem: for each (c, d)
P there is a linear constraint cx + dy 10 .
If P is not a nite set, then this problem is a linear semiinnite programming problem, namely a linear programming problem with nitely many (2) decision variables where the rectangle U (x) represents the set of all the values u associated with decision x .
and innitely many constraints.
1

3.2

CLASSIFICATION

Global robustness

Consider the simple abstract robust optimization problem z(U ) := max {f (x) : g(x, u) b, u U }
xX

where g is a real-valued function on X U , and assume

that there is no feasible solution to this problem because
xX
the robustness constraint g(x, u) b, u U is too
where U denotes the set of all possible values of u under demanding.
consideration.
To overcome this diculty, let N be a relatively small
This is a global robust optimization problem in the sense subset of U representing normal values of u and conthat the robustness constraint g(x, u) b, u U rep- sider the following robust optimization problem:
resents all the possible values of u .
max {f (x) : g(x, u) b, u U }

The diculty is that such a global constraint can be too

demanding in that there is no x X that satises this
constraint. But even if such an x X exists, the constraint can be too conservative in that it yields a solution x X that generates a very small payo f (x) that is
not representative of the performance of other decisions
in X . For instance, there could be an x X that only
slightly violates the robustness constraint but yields a very
large payo f (x ) . In such cases it might be necessary
to relax a bit the robustness constraint and/or modify the
statement of the problem.
3.2.1

z(N ) := max {f (x) : g(x, u) b, u N }

xX

Since N is much smaller than U , its optimal solution may

not perform well on a large portion of U and therefore
may not be robust against the variability of u over U .
One way to x this diculty is to relax the constraint
g(x, u) b for values of u outside the set N in a controlled manner so that larger violations are allowed as the
distance of u from N increases. For instance, consider
the relaxed robustness constraint

Example 2

Consider the case where the objective is to satisfy a constraint g(x, u) b, . where x X denotes the decision
variable and u is a parameter whose set of possible values
in U . If there is no x X such that g(x, u) b, u U
, then the following intuitive measure of robustness suggests itself:

(x) := max {size(Y ) : g(x, u) b, u Y } , x X

Y U

g(x, u) b + dist(u, N ) , u U
where 0 is a control parameter and dist(u, N ) denotes the distance of u from N . Thus, for = 0 the
relaxed robustness constraint reduces back to the original
robustness constraint. This yields the following (relaxed)
robust optimization problem:

z(N , U ) := max {f (x) : g(x, u) b+dist(u, N ) , u U }

xX

where size(Y ) denotes an appropriate measure of the

size of set Y . For example, if U is a nite set, then The function dist is dened in such a manner that
size(Y ) could be dened as the cardinality of set Y .
In words, the robustness of decision is the size of the
largest subset of U for which the constraint g(x, u) b dist(u, N ) 0, u U
is satised for each u in this set. An optimal decision is
and
then a decision whose robustness is the largest.
This yields the following robust optimization problem:
dist(u, N ) = 0, u N
max

{size(Y ) : g(x, u) b, u Y }

and therefore the optimal solution to the relaxed problem

satises the original constraint g(x, u) b for all valThis intuitive notion of global robustness is not used often ues of u in N . In addition, it also satises the relaxed
in practice because the robust optimization problems that constraint
it induces are usually (not always) very dicult to solve.
xX,Y U

3.2.2

Example 3

Consider the robust optimization problem

g(x, u) b + dist(u, N )
outside N .

3.3

Non-probabilistic robust optimization

models

The dominating paradigm in this area of robust optimization is Walds maximin model, namely

where the max represents the decision maker, the min

represents Nature, namely uncertainty, X represents the
decision space and U (x) denotes the set of possible values of u associated with decision x . This is the classic format of the generic model, and is often referred to
as minimax or maximin optimization problem. The nonprobabilistic (deterministic) model has been and is being
extensively used for robust optimization especially in the
eld of signal processing.[9][10][11]
The equivalent mathematical programming (MP) of the
classic format above is

max

Minimax estimator
Minimax regret
Robust statistics
Robust decision making

max min f (x, u)

xX uU (x)

xX,vR

Minimax

{v : v f (x, u), u U (x)}

Constraints can be incorporated explicitly in these models. The generic constrained classic format is

Stochastic programming
Stochastic optimization
Info-gap decision theory
Taguchi methods

5 References
[1] Bertsimas, Dimitris; Sim, Melvyn (2004). The Price
of Robustness. Operations Research. 52 (1): 3553.
doi:10.1287/opre.1030.0065.
[2] Khargonekar, P.P.; Petersen, I.R.; Zhou, K. Robust
stabilization of uncertain linear systems: quadratic stabilizability and H/sup innity / control theory. IEEE
Transactions on Automatic Control. 35 (3): 356361.
doi:10.1109/9.50357.
[3] Robust portfolio optimization

max min {f (x, u) : g(x, u) b, u U (x)}

xX uU (x)

The equivalent constrained MP format is dened as:

max

xX,vR

3.4

{v : v f (x, u), g(x, u) b, u U (x)}

Probabilistic
models

robust

optimization

These models quantify the uncertainty in the true value

of the parameter of interest by probability distribution functions. They have been traditionally classied
as stochastic programming and stochastic optimization
models.

3.5

Robust counterpart

The solution method to many robust program involves

creating a deterministic equivalent, called the robust
counterpart. The practical diculty of a robust program
depends on if its robust counterpart is computationally
tractable.[12]

See also
Stability radius

[4] Md. Asadujjaman and Kais Zaman, Robust Portfolio

Optimization under Data Uncertainty 15th National Statistical Conference, December 2014, Dhaka, Bangladesh.
[5] Yu, Chian-Son; Li, Han-Lin. A robust optimization
model for stochastic logistic problems. International
Journal of Production Economics. 64 (1-3): 385397.
doi:10.1016/S0925-5273(99)00074-2.
[6] Strano, M. Optimization under uncertainty of sheetmetal-forming processes by the nite element method.
Proceedings of the Institution of Mechanical Engineers,
Part B: Journal of Engineering Manufacture. 220 (8):
13051315. doi:10.1243/09544054JEM480.
[7] Bernardo, Fernando P.; Saraiva, Pedro M. (1998). Robust optimization framework for process parameter and
tolerance design. AIChE Journal. 44 (9): 20072017.
doi:10.1002/aic.690440908.
[8] Chu, Millie; Zinchenko, Yuriy; Henderson, Shane G;
Sharpe, Michael B (2005). Robust optimization for intensity modulated radiation therapy treatment planning
under uncertainty. Physics in Medicine and Biology. 50
(23): 54635477. doi:10.1088/0031-9155/50/23/003.
[9] Verdu, S.; Poor, H. V. (1984). On Minimax Robustness: A general approach and applications. IEEE
Transactions on Information Theory. 30: 328340.
doi:10.1109/tit.1984.1056876.
[10] Kassam, S. A.; Poor, H. V. (1985). Robust Techniques
for Signal Processing: A Survey. Proceedings of the
IEEE. 73: 433481. doi:10.1109/proc.1985.13167.

6 FURTHER READING

[11] M. Danish Nisar. Minimax Robustness in Signal Processing for Communications, Shaker Verlag, ISBN 9783-8440-0332-1, August 2011.

Dembo, R (1991). Scenario optimization. Annals of Operations Research. 30 (1): 6380.

doi:10.1007/bf02204809.

[12] Ben-Tal A., El Ghaoui, L. and Nemirovski, A. (2009).

Robust Optimization. Princeton Series in Applied Mathematics, Princeton University Press, 9-16.

Gupta, S.K.; Rosenhead, J. (1968). Robustness in

sequential investment decisions. Management Science. 15 (2): 1829.

Further reading
H.J. Greenberg. Mathematical Programming Glossary. World Wide Web, http://glossary.computing.
society.informs.org/, 1996-2006. Edited by the INFORMS Computing Society.

Kouvelis P. and Yu G. (1997). Robust Discrete Optimization and Its Applications, Kluwer.
Mutapcic, Almir;
Boyd, Stephen (2009).
Cutting-set methods for robust convex optimization with pessimizing oracles. Optimization Methods and Software. 24 (3): 381406.
doi:10.1080/10556780802712889.

Ben-Tal, A.; Nemirovski, A. (1998). Robust Convex Optimization. Mathematics of Operations Research. 23: 769805. doi:10.1287/moor.23.4.769.

Mulvey, J.M.; Vanderbei, R.J.; Zenios, S.A.

(1995). Robust Optimization of Large-Scale Systems. Operations Research. 43 (2): 264281.
doi:10.1287/opre.43.2.264.

Ben-Tal, A.; Nemirovski, A. (1999). Robust solutions to uncertain linear programs. Operations
Research Letters. 25: 113. doi:10.1016/s01676377(99)00016-4.

Rosenblat, M.J. (1987). A robust approach to facility design. International Journal of Production
Research. 25 (4): 479486.

Ben-Tal, A.; Arkadi Nemirovski, A. (2002). Robust optimizationmethodology and applications.

Mathematical Programming, Series B. 92: 453480.
doi:10.1007/s101070100286.
Ben-Tal A., El Ghaoui, L. and Nemirovski, A.
(2006). Mathematical Programming, Special issue
on Robust Optimization, Volume 107(1-2).
Ben-Tal A., El Ghaoui, L. and Nemirovski, A.
(2009). Robust Optimization. Princeton Series in
Applied Mathematics, Princeton University Press.
Bertsimas, D.; Sim, M. (2003). Robust Discrete
Optimization and Network Flows. Mathematical
Programming. 98: 4971. doi:10.1007/s10107003-0396-4.
Bertsimas, D.; Sim, M. (2006). Tractable Approximations to Robust Conic Optimization Problems
Dimitris Bertsimas. Mathematical Programming.
107 (1): 536. doi:10.1007/s10107-005-0677-1.
Chen, W.; Sim, M. (2009). Goal Driven Optimization. Operations Research. 57 (2): 342357.
doi:10.1287/opre.1080.0570.
Chen, X.; Sim, M.; Sun, P.; Zhang, J. (2008). A
Linear-Decision Based Approximation Approach to
Stochastic Programming. Operations Research. 56
(2): 344357. doi:10.1287/opre.1070.0457.
Chen, X.; Sim, M.; Sun, P. (2007). A Robust
Optimization Perspective on Stochastic Programming. Operations Research. 55 (6): 10581071.
doi:10.1287/opre.1070.0441.

Rosenhead, M.J; Elton, M; Gupta, S.K. (1972).

Robustness and Optimality as Criteria for Strategic Decisions. Operational Research Quarterly. 23
(4): 413430. doi:10.2307/3007957.
Rustem B. and Howe M. (2002). Algorithms for
Worst-case Design and Applications to Risk Management, Princeton University Press.
Sniedovich, M (2007). The art and science of modeling decision-making under severe uncertainty.
Decision Making in Manufacturing and Services. 1
(1-2): 111136.
Sniedovich, M (2008). Walds Maximin Model: a
Treasure in Disguise!". Journal of Risk Finance. 9
(3): 287291. doi:10.1108/15265940810875603.
Sniedovich, M (2010). A birds view of info-gap
decision theory. Journal of Risk Finance. 11 (3):
268283. doi:10.1108/15265941011043648.
Wald, A (1939). Contributions to the theory
of statistical estimation and testing hypotheses.
The Annals of Mathematics. 10 (4): 299326.
doi:10.1214/aoms/1177732144.
Wald, A (1945).
Statistical decision functions which minimize the maximum risk. The
Annals of Mathematics.
46 (2): 265280.
doi:10.2307/1969022.
Wald, A. (1950).
John Wiley, NY.

Statistical Decision Functions,

M. Shabanzadeh, M. Fattahi. Generation Maintenance Scheduling via robust optimization. DOI:

10.1109/IranianCEE.2015.7146458 , 2015

External links
ROME: Robust Optimization Made Easy
Robust Decision-Making Under Severe Uncertainty

8 TEXT AND IMAGE SOURCES, CONTRIBUTORS, AND LICENSES

Text and image sources, contributors, and licenses

8.1

Text

Robust optimization Source: https://en.wikipedia.org/wiki/Robust_optimization?oldid=737030127 Contributors: Willsmith, Jitse

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8.2

Images

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8.3

Content license

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