In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method mainly relies on a linearization scheme employed in bilinear programming, therefore we will say that it gives rise to the "linearized robust counterpart" models. We identify a close relation between this linearized robust counterpart model and the popular affinely adjustable robust counterpart model. We also describe methods of modifying both types of models to make these approximations less conservative. These methods are heavily inspired by the use of valid linear and conic inequalities in the linearization process for bilinear models. We finally demonstrate how to employ this new scheme in location-transportation and multi-item newsvendor problems to improve the numerical efficiency and performance guarantees of robust optimization.
Published September 2016 , 47 pages
This cahier was revised in April 2017