Robust optimization of a multi-period production planning problem under uncertaity

A. Ben-Tal, B. Golany, M. Rozenblit

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

We apply Robust Optimization (RO) to a periodic finite horizon production planning problem with uncertain demand that resides within an uncertainty set that follows a typical life-cycle pattern. We seek to determine the length of the profitable horizon and the production quantities within that horizon to maximize the total profit. When considering a linear costs setting, we show that the average performance of the adjustable and pure online RO methods is better than alternative methods. Moreover, these preferred methods achieved solutions that are surprisingly close to the perfect hindsight (PH) profit, i.e., the value that would have been obtained if it was possible to know the demand realizations in advance. When considering scenarios that involve fixed cost with polyhedral uncertainty sets, the RO formulation is a mixed integer model. For this setting, our simulation study shows that the average performance of the pure online RO follows the same trend as in the linear costs setting, namely close to the PH profit.

Original languageEnglish
Title of host publication21st International Conference on Production Research
Subtitle of host publicationInnovation in Product and Production, ICPR 2011 - Conference Proceedings
EditorsTobias Krause, Dieter Spath, Rolf Ilg
ISBN (Electronic)9783839602935
StatePublished - 2011
Event21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011 - Stuttgart, Germany
Duration: 31 Jul 20114 Aug 2011

Publication series

Name21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011 - Conference Proceedings

Conference

Conference21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011
Country/TerritoryGermany
CityStuttgart
Period31/07/114/08/11

Keywords

  • Multi-period inventory control
  • Optimization under uncertainty
  • Robust optimization

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Industrial and Manufacturing Engineering

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