Abstract
The problem of production management can often be cast in the form of a linear program with uncertain parameters and risk constraints. Typically, such problems are treated in the framework of multi-stage Stochastic Programming. Recently, a Robust Counterpart (RC) approach has been proposed, in which the decisions are optimized for the worst realizations of problem parameters. However, an application of the RC technique often results in very conservative approximations of uncertain problems. To tackle this drawback, an Adjustable Robust Counterpart (ARC) approach has been proposed by Ben-Tal et al. In ARC, some decision variables are allowed to depend on past values of uncertain parameters. A restricted version of ARC, introduced by Ben-Tal et al. and which can be efficiently solved, is referred to as Affinely Adjustable Robust Counterpart (AARC).
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