Distributionally robust mixed integer linear programs: Persistency models with applications

• Published in: European journal of operational research Vol. 233; no. 3; pp. 459 - 473
• Main Authors: Li, Xiaobo, Natarajan, Karthik, Teo, Chung-Piaw, Zheng, Zhichao
• Format: Journal Article
• Language: English
• Published: Amsterdam Elsevier B.V 16.03.2014; Elsevier Sequoia S.A
• Subjects: Computer programs; Conic program; Conics; Decision making models; Distributionally robust bounds; Hierarchies; Integer programming; Mathematical models; Mathematical problems; Mixed integer; Mixed integer linear program; Networks; Operational research; Optimization; Optimization techniques; Probability distribution; Programming; Studies; Conic program; Mixed integer linear program; Distributionally robust bounds
• ISSN: 0377-2217; 1872-6860
• DOI: 10.1016/j.ejor.2013.07.009

•We review advances in the distributional analysis of mixed integer linear programs.•We discuss complexity results and conic programs for this class of problems.•We provide applications in network, choice, random walk, and newsvendor problems. In this paper, we review recent advances in the distributional analysis of mixed integer linear programs with random objective coefficients. Suppose that the probability distribution of the objective coefficients is incompletely specified and characterized through partial moment information. Conic programming methods have been recently used to find distributionally robust bounds for the expected optimal value of mixed integer linear programs over the set of all distributions with the given moment information. These methods also provide additional information on the probability that a binary variable attains a value of 1 in the optimal solution for 0–1 integer linear programs. This probability is defined as the persistency of a binary variable. In this paper, we provide an overview of the complexity results for these models, conic programming formulations that are readily implementable with standard solvers and important applications of persistency models. The main message that we hope to convey through this review is that tools of conic programming provide important insights in the probabilistic analysis of discrete optimization problems. These tools lead to distributionally robust bounds with applications in activity networks, vertex packing, discrete choice models, random walks and sequencing problems, and newsvendor problems.