An Introduction To Robust Combinatorial Optimization (Concepts, Models and Algorithms For Decision Making Under Uncertainty) (2024th Edition) Goerigk
An Introduction To Robust Combinatorial Optimization (Concepts, Models and Algorithms For Decision Making Under Uncertainty) (2024th Edition) Goerigk
Operations
l Optimization Research
(Concepts, Models& Management Science
and Algorithms for Decision Making und
n-to-robust-combinatorial-optimization-concepts-models-and-algorithms-fo
Marc Goerigk
Michael Hartisch
An Introduction
to Robust
Combinatorial
Optimization
Concepts, Models and Algorithms
for Decision Making under Uncertainty
Series Editor
Camille C. Price, Department of Computer Science, Stephen F. Austin State
University, Nacogdoches, TX, USA
Editorial Board
Emanuele Borgonovo, Department of Decision Sciences, Bocconi University,
Milan, Italy
Barry L. Nelson, Department of Industrial Engineering and Management Sciences,
Northwestern University, Evanston, IL, USA
Bruce W. Patty, Veritec Solutions, Mill Valley, CA, USA
Michael Pinedo, Stern School of Business, New York University, New York, NY,
USA
Robert J. Vanderbei, Princeton University, Princeton, NJ, USA
Associate Editor
Joe Zhu, Business School, Worcester Polytechnic Institute, Worcester, MA, USA
-to-robust-combinatorial-optimization-concepts-models-and-algorithms-f
An Introduction to Robust
Combinatorial Optimization
Concepts, Models and Algorithms
for Decision Making under Uncertainty
-to-robust-combinatorial-optimization-concepts-models-and-algorithms-f
© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland
AG 2024
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Thank you for joining us on this tour through the world of robust combinatorial
optimization. We have felt it long overdue that the tremendous progress that has
been achieved in this field since the publication of the first and only book on this
topic in the late 1990s is collected, ordered, and made accessible in one place.
Having given lectures on robust optimization for several years now, we expected
to encounter little difficulty in writing this book. Of course, we were very wrong.
Still, it has given us great pleasure to revisit classic as well as new results, sometimes
fixing what we felt was wrong, filling in gaps, and elaborating with new examples.
The result is a text completely written from scratch.
We thank our collaborators that made this book possible in sharing many
discussions and replying to quite some e-mails asking for clarification. We are
grateful for lecture notes provided to us by Anita Schöbel and Christoph Buchheim,
and for the many enjoyable and helpful discussions we have had with Adam
Kasperski, Paweł Zieliński, Michaël Poss, and Frauke Liers. We thank Werner Baak,
Luis Barthold, Dorothee Henke, Mohammad Khosravi, Heike Leers, Sebastian
Merten, Steffen Siebert, Pascal Wagener, and Lasse Wulf for spotting many errors
in previous iterations of this text.
Almost certainly, mistakes in the text will remain. We greatly appreciate if you
send us a short message, should you find any. Thank you!
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Optimization (Concepts, Models and Algorithms for Decision Making und
Contents
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1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1 A Robust Decision-Making Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Purpose and Structure of This Book. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2 Basic Concepts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1 Complexity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.1 Big-O Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.1.2 Polynomial-Time Complexity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.1.3 NP-Hardness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.1.4 Approximation Algorithms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.2 Linear and Integer Linear Programming . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
2.3 Graph Structures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
2.4 Combinatorial Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.4.1 The Knapsack Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
2.4.2 The Selection Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
2.4.3 The Shortest Path Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
2.4.4 The Minimum Spanning Tree Problem . . . . . . . . . . . . . . . . . . . . . 28
2.4.5 The Assignment Problem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2.4.6 The Traveling Salesperson Problem . . . . . . . . . . . . . . . . . . . . . . . . 32
2.4.7 Scheduling Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.4.8 The Matroid Optimization Problem . . . . . . . . . . . . . . . . . . . . . . . . . 35
2.5 Further Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
2.7 Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
3 Robust Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.1 Robust Decision Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
3.2 Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
3.3 Comparing Criteria . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
3.4 Relationships to Multi-Criteria Optimization . . . . . . . . . . . . . . . . . . . . . . . 57
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Optimization (Concepts, Models and Algorithms for Decision Making und
3.5 Further Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
3.6 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 61
3.7 Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
4 General Reformulation Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
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4.1 Convexity of Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 67
4.2 Interval Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
4.2.1 Min-Max Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71
4.2.2 Two-Stage and Recoverable Problems . . . . . . . . . . . . . . . . . . . . . . 72
4.2.3 Min-Max Regret Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
4.3 Discrete Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
4.3.1 Min-Max Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
4.3.2 Two-Stage and Recoverable Problems . . . . . . . . . . . . . . . . . . . . . . 80
4.3.3 Min-Max Regret Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
4.4 Polytopal Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
4.4.1 Min-Max Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
4.4.2 Two-Stage and Recoverable Problems . . . . . . . . . . . . . . . . . . . . . . 84
4.4.3 Min-Max Regret Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
4.5 Budgeted Uncertainty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.5.1 Min-Max Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.5.2 Two-Stage and Recoverable Problems . . . . . . . . . . . . . . . . . . . . . . 94
4.5.3 Min-Max Regret Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
4.6 Relationships Between Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
4.7 Further Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
4.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.9 Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 101
5 General Solution Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
5.1 Scenario Generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
5.1.1 Abstract Method . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 103
5.1.2 Scenario Generation for Min-Max Problems . . . . . . . . . . . . . . . 105
5.1.3 Scenario Generation for Min-Max Regret Problems . . . . . . . 106
5.1.4 Scenario Generation for Two-Stage and
Recoverable Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
5.2 Approximation Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
5.2.1 Reducing Discrete Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . 109
5.2.2 Norm-Based Approximation for Discrete
Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116
5.2.3 Reducing Interval Uncertainty Sets . . . . . . . . . . . . . . . . . . . . . . . . . 123
5.3 Pseudopolynomial Methods and Approximation Schemes. . . . . . . . . 126
5.4 Further Reading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
5.5 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
5.6 Solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 132
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135