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math.OC2018
On the Optimality of Affine Policies for Budgeted Uncertainty Sets
Omar El Housni, Vineet Goyal
In this paper, we study the performance of affine policies for two-stage adjustable robust optimization problem with fixed recourse and uncertain right hand side belonging to a bud…
math.OC2018
A Tractable Approach for designing Piecewise Affine Policies in Two-stage Adjustable Robust Optimization
Aharon Ben-Tal, Omar El Housni, Vineet Goyal
We consider the problem of designing piecewise affine policies for two-stage adjustable robust linear optimization problems under right-hand side uncertainty. It is well known that…