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Lexicographic α-robustness : an alternative to min-maxcriteria

Kalaï, Rim; Lamboray, Claude; Vanderpooten, Daniel (2012), Lexicographic α-robustness : an alternative to min-maxcriteria, European Journal of Operational Research, 220, 3, p. 722-728. http://dx.doi.org/10.1016/j.ejor.2012.01.056

Type
Article accepté pour publication ou publié
Date
2012
Journal name
European Journal of Operational Research
Volume
220
Number
3
Publisher
Elsevier
Pages
722-728
Publication identifier
Metadata
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Author(s)
Kalaï, Rim
Lamboray, Claude
Vanderpooten, Daniel
Abstract (EN)
Robustness in Operations Research/Decision Aid is often associated with min-max and min-max regret criteria. This common approach to determine robust solutions consists in finding a solution which minimizes the maximal cost or regret. Nevertheless, these criteria are known to be too conservative. In this paper, we present and study a new robustness approach, called lexicographic α-robustness, which compensates for this major drawback and many others. Furthermore, we establish a link between lexicographic α-robustness and a third robustness approach called p-robustness.
Subjects / Keywords
Robustness; Uncertainty modelling; Min-max cost/regret; Scenarios; Preference relations