Stability and Robustness: Reliability in the World of Uncertainty

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OutlineThe World of UncertaintyRobust OptimizationStability AnalysisConclusionReasons for UncertaintyExtreme Consequences of UncertaintyEfficient Use of UncertaintyModeling UncertaintyWorld Economic Crisis: Domino Effect1. PessimisticAccountReportProfit10%downTransfer100billiondollarsattemporarydisposalPurchasesharesoftheGasProducingCompany100WorldEconomicCrisisasanexampleoftheDominoEffectsGasProducingCompanyBankDeposit100GlobalFinancialService1004. DepositWithdrawGetting75b.d.tobuysharesPensionFund3. Sellingsharesonlowerprices.Getting75b.d.Deficit15b.d.CommercialBankBuyingfixedcostshares5. Selling2. Withdrawmoney90billiondollars.Lost10b.d.CommercialEnterprise5050shares.Getting50b.dDeficit25b.d.LongtermcreditIndustrialEnterpriseGovernment25+15=40b.d.RescuebailoutAverytemporarymeasuretosecurethefinancialmarketplayersandovercomeliquiditydeficit.Otherwise,badlongtermconsequences:financialsectorcollapse,industrialsectorslowsdown,unemploymentgrows,economicfallsintorecession“Hidinganelephantbehindamouse!”Yury NikulinStability and Robustness: Reliability in the World of Uncertainty
OutlineThe World of UncertaintyRobust OptimizationStability AnalysisConclusionReasons for UncertaintyExtreme Consequences of UncertaintyEfficient Use of UncertaintyModeling UncertaintyIf only being predicted and controlleduncertainty may profit!Complicated system + artificially caused uncertainty ↦→ systemnon-stability ↦→ controlled to some extent chain reactions ↦→ systembeing changed ↦→ diversification, selection or separation ↦→measuring new data and getting the result.Yury NikulinStability and Robustness: Reliability in the World of Uncertainty
Page 1 and 2: OutlineThe World of UncertaintyRobu
Page 3 and 4: OutlineOutlineThe World of Uncertai
Page 7: OutlineThe World of UncertaintyRobu
Page 13 and 14: Interval UncertaintyOutlineThe Worl
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Introduction: Sensitivity analysis
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Dealing with uncertainty16/04/2009
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Classical approachKouvelis P. and Y
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Telecommunication and MST16/04/2009
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Multicommodity reformulation formin
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Dual problem16/04/2009 Yury Nikulin
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Interval data and scenariosG = ( E,
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RST problem reformulation as mixedi
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Robust Spanning Tree Problem within
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Example: weak edgesweaknon-weak12-5
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Example: Strong edgesstrong12-553-4
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CPLEX results on complete graphs16/
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Branching strategyNode d with the s
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Lower bound16/04/2009 Yury Nikulin,
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SA: preprocessing, initial solution
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SA: neighborhood search moveCase2.1
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Running time16/04/2009 Yury Nikulin
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SA summary• In spite of SA is gen
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16/04/2009 Yury Nikulin, Sensitivit
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Heuristics for Central Tree Problem
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Distance MeasureThe Central TreePro
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Distance MeasureThe Central TreePro
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The Central Tree ProblemThe Central
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The CTP vs. MDTPThe Central TreePro
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The CTP vs. MDTPThe Central TreePro
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Short ExampleThe Central TreeProble
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Complexity of the CTPThe Central Tr
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Complexity of the CTPThe Central Tr
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Equivalence between 0 − 1 RSTP an
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One more evidence of NP-hardnessThe
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MILP FormulationCorollary from the
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Approximation for the CTPThe Centra
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The Central TreeProblemHeuristics f
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Greedy Construction HeuristicThe Ce
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ExampleThe Central TreeProblemHeuri
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Computational ExperimentsThe Centra
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ConclusionThe Central TreeProblemHe
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Sensitivity Analysis in Game Theory
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Game descriptionProblemFormulationS
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Forming a coalition, bansProblemFor
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EquilibriaProblemFormulationStabili
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Original problemProblemFormulationS
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ExampleProblemFormulationStability
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Stability FunctionProblemFormulatio
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SufficiencyProblemFormulationStabil
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Formula for Stability FunctionProbl
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Sketch of the proofProblemFormulati
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Formula for Stability RadiusProblem
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Independent players, no bansProblem
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Accuracy Function and RadiusProblem
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ExampleProblemFormulationStability
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Concluding remarksProblemFormulatio
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Fuzziness: one more way of dealingw
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Crisp and Fuzzy Numbers28/04/2009 Y
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Geometrical interpretation: Union28
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Geometrical interpretation:Intersec
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Fuzzy sets28/04/2009 Yury Nikulin,
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Comparison of fuzzy numbers:strong
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Maximal and Minimalfuzzy numbersμ(
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Fuzzy maximum and minimum28/04/2009
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Statistical data about flight delay
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Possibility distribution28/04/2009
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Fuzzy Number representing delays28/
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