Lexicographic alpha-robustness: an alternative to min-max criteria

Abstract : 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.
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Submitted on : Tuesday, April 9, 2013 - 3:16:51 PM
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Rim Kalai-Jemai, Claude Lamboray, Daniel Vanderpooten. Lexicographic alpha-robustness: an alternative to min-max criteria. European Journal of Operational Research, Elsevier, 2012, Vol. 220 (n° 3), pp 722-728. ⟨hal-00809571⟩

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