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Lecture 8: Robust Optimization

Papers

Slide 1

B. and Sim, The Price of Robustness, Operations Research, 2003.

B. and Sim, Robust Discrete optimization, Mathematical Programming,

2003.

Structure

Slide 2

Motivation

Data Uncertainty

Robust Mixed Integer Optimization

Robust 0-1 Optimization

Motivation

Slide 3

that the input data is precisely known and equal to some nominal values.

This approach, however, does not take into account the inuence of data

Slide 4

Ben-Tal and Nemirovski (2000):

In real-world applications of Linear Optimization (Net Lib li

brary), one cannot ignore the possibility that a small uncer

tainty in the data can make the usual optimal solution com

pletely meaningless from a practical viewpoint.

3.1

Literature

Slide 5

Nonlinear convex models

Not extendable to discrete optimization

Goal

Slide 6

that:

It allows to control the degree of conservatism of the solution;

It is computationally tractable both practically and theoretically.

Data Uncertainty

Slide 7

minimize c x

subject to Ax b

lxu

xi Z,

i = 1, . . . , k,

WLOG data uncertainty aects only A and c, but not the vector b.

Slide 8

ij , j Ji

ij , aij + a

ij ].

Robust MIP

Slide 9

i adjusts the robustness of the proposed method against the level of

allowed to change.

Slide 10

Nature will be restricted in its behavior, in that only a subset of the

We will guarantee that if nature behaves like this then the robust solution

6.1

Problem

minimize

subject to

Slide 11

c x+

max

{S0 | S0 J0 ,|S0 |0 }

aij xj +

l x

u

xi Z,

6.2

jS0

max

{Si | Si Ji ,|Si |i }

dj |xj |

jSi

a

ij |xj |

bi , i

i = 1, . . . k.

Theorem 1

Slide 12

minimize

subject to

c x + z 0 0 +

aij xj + zi i +

jJi

z0 + p0j dj yj

zi + pij a

ij yj

pij , yj , zi 0

yj xj yj

lj xj uj

xi Z

6.3

X0j

jJ0

pij bi

i

j J0

i =

0, j Ji

i, j Ji

j

j

i = 1, . . . , k.

Proof

Slide 13

i (x ) =

max

jSi

a

ij |xj |

i (x ) = max

a

ij |xj |zij

jJi

s.t.

jJi

zij i

0 zij 1

Dual:

i (x ) = min

i, j Ji .

pij + i zi

jJi

s.t.

zi + pij a

ij |xj |

pij 0

zi 0

j Ji

j Ji

i.

Slide 14

|Ji |

5

10

100

200

8.3565

24.263

33.899

violation is less than 1%.

6.4

Size

Slide 15

P

Robust counterpart has 2n + m + l variables, where l = m

i=0 |Ji | is the

6.5

6.5.1

Probabilistic Guarantee

Theorem 2

Slide 16

(a) If A is subject to the model of data uncertainty U:

Pr

a

ij xj > bi

1

(1 )

2n

n

X

n

l=

n

X

n

l=+1

(b) As n

1

(1 )

2n

n

X

n

l=

n

X

n

l=+1

i 1

Slide 17

Slide 18

Experimental Results

7.1

Knapsack Problems

Slide 19

maximize

subject to

iN

X

iN

ci xi

wi xi b

x {0, 1}n.

10

Approx bound

Bound 2

10

10

10

10

0

2.8

36.8

82.0

200

5

i

Violation Probability

0.5

4.49 101

5.71 103

5.04 109

0

Optimal Value

5592

5585

5506

5408

5283

10

Reduction

0%

0.13%

1.54%

3.29%

5.50%

w

i are independently distributed and follow symmetric distributions in

[wi i , wi + i ];

7.1.1

Data

Slide 20

|N | = 200, b = 4000,

wi randomly chosen from {20, 21, . . . , 29}.

ci randomly chosen from {16, 17, . . . , 77}.

i = 0.1wi .

7.1.2

Results

Slide 21

Slide 22

c x

minimize

x X {0, 1}n .

subject to

Robust Counterpart:

Z =

minimize

subject to

c x +

max

{S| SJ,|S|=}

x X,

dj x j

jS

WLOG d1 d2 . . . dn .

8.1

Remarks

Slide 23

Examples: the shortest path, the minimum spanning tree, the minimum

assignment, the traveling salesman, the vehicle routing and matroid inter

section problems.

Other approaches to robustness are hard. Scenario based uncertainty:

minimize max(c1 x, c2 x)

subject to x X.

is NP-hard for the shortest path problem.

8.2

Approach

Slide 24

xX

dj xj uj

s.t. 0 uj 1,

X

uj

xX

s.t.

yj

yj + dj xj ,

yj , 0

8.3

Algorithm A

Slide 25

Solution: yj = max(dj xj , 0)

Z =

min

xX,0

max(dj xj , 0) = max(dj , 0) xj

Z =

min +

xX,0

Slide 26

d1 d2 . . . dn dn+1 = 0.

For dl dl+1 ,

min

xX,dl dl+1

n

X

cj xj +

j=1

dl + min

xX

Z =

n

X

j=1

cj xj +

j=1

dl + min

l=1,...,n+1

xX

n

X

(dj dl )xj = Zl

cj xj +

j=1

8.4

(dj )xj =

l

X

j=1

min

l

X

l

X

j=1

(dj dl )xj .

Theorem 3

Slide 27

It requires at most |J| + 1 solutions of nominal problems. Thus, If the

nominal problem is polynomially time solvable, then the robust 0-1 coun

9

9.1

Experimental Results

Robust Sorting

Slide 28

minimize

subject to

X

iN

X

iN

ci xi

xi = k

x {0, 1}n .

Z()

8822

8827

8923

9059

9627

10049

10146

10355

10619

10619

0

10

20

30

40

50

60

70

80

100

Z () =

% change in Z()

0 %

0.056 %

1.145 %

2.686 %

9.125 %

13.91 %

15.00 %

17.38 %

20.37 %

20.37 %

minimize

subject to

c x +

()

501.0

493.1

471.9

454.3

396.3

371.6

365.7

352.9

342.5

340.1

max

% change in ()

0.0 %

-1.6 %

-5.8 %

-9.3 %

-20.9 %

-25.8 %

-27.0 %

-29.6 %

-31.6 %

-32.1 %

{S| SJ,|S|=}

xi = k

dj x j

jS

iN

x {0, 1}n .

9.1.1

Data

Slide 29

|N | = 200;

k = 100;

cj U [50, 200]; dj U [20, 200];

For testing robustness, generate instances such that each cost component

cj to cj + dj .

9.1.2

Results

Slide 30

MIT OpenCourseWare

http://ocw.mit.edu

Fall 2009

For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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