The impact of the existence of multiple adjustable robust solutions
这篇短文指出，在可调鲁棒优化的经典生产库存例子中存在多个最优解，这些解的最坏情况目标值相同，但均值差异可达21.9%，个别实现差异达59.4%，并提醒用户检查多解问题。
In this note we show that multiple solutions exist for the production-inventory example in the seminal paper on adjustable robust optimization in Ben-Tal et al. (Math Program 99(2):351–376, 2004). All these optimal robust solutions have the same worst-case objective value, but the mean objective values differ up to 21.9 % and for individual realizations this difference can be up to 59.4 %. We show via additional experiments that these differences in performance become negligible when using a folding horizon approach. The aim of this paper is to convince users of adjustable robust optimization to check for existence of multiple solutions. Using the production-inventory example and an illustrative toy example we deduce three important implications of the existence of multiple optimal robust solutions. First, if one neglects this existence of multiple solutions, then one can wrongly conclude that the adjustable robust solution does not outperform the nonadjustable robust solution. Second, even when it is a priori known that the adjustable and nonadjustable robust solutions are equivalent on worst-case objective value, they might still differ on the mean objective value. Third, even if it is known that affine decision rules yield (near) optimal performance in the adjustable robust optimization setting, then still nonlinear decision rules can yield much better mean objective values.