Class 6

We continue studying one-stage decision-making problems under uncertainty. We introduce key concepts such as the "price of robustness" using illustrative examples. We see how duality can be used to find a robust solution to an optimization problem with uncertain data that take values in a polyhedral set. We limit our study here to decision-making processes without recourse.

Concepts and methods are taught following an inductive approach: the students are first faced with examples of optimization problems under uncertainty. They must then discuss in groups how to tackle such small problems and agree on possible solution strategies. The suggestions of each group are then pooled and discussed in class and the teacher finally introduces the solution strategy proposed in the technical literature.