Exact conic programming reformulations of two-stage adjustable robust linear programs with new quadratic decision rules

Abstract

In this paper we introduce a new parameterized Quadratic Decision Rule (QDR), a generalisation of the commonly employed Affine Decision Rule (ADR), for two-stage linear adjustable robust optimization problems with ellipsoidal uncertainty and show that (affinely parameterized) linear adjustable robust optimization problems with QDRs are numerically tractable by presenting exact semi-definite program and second order cone program reformulations. Under these QDRs, we also establish that exact conic program reformulations also hold for two-stage linear ARO problems, containing also adjustable variables in their objective functions. We then show via numerical experiments on lot-sizing problems with uncertain demand that adjustable robust linear optimization problems with QDRs improve upon the ADRs in their performance both in the worst-case sense and after simulated realization of the uncertain demand relative to the true solution.