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arXiv · 2303.05067

Robust optimization with belief functions

Marc Goerigk·Romain Guillaume·Adam Kasperski·Paweł Zieliński
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Abstract

In this paper, an optimization problem with uncertain objective function coefficients is considered. The uncertainty is specified by providing a discrete scenario set, containing possible realizations of the objective function coefficients. The concept of belief function in the traditional and possibilistic setting is applied to define a set of admissible probability distributions over the scenario set. The generalized Hurwicz criterion is then used to compute a solution. In this paper, the complexity of the resulting problem is explored. Some exact and approximation methods of solving it are proposed.

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Marc Goerigk, Romain Guillaume, Adam Kasperski, Paweł Zieliński. 2023-03-09. Robust optimization with belief functions. https://arxiv.org/abs/2303.05067

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