Robust Solutions for Linear Programming
A simple and effective way to address uncertainty
Eurodecision, in collaboration with ORDECSYS, offers advanced training on operational research techniques and methods. Sessions are available in both Paris and Geneva. This training session, developed by ORDECSYS and presented by Professor Jean-Philippe Vial, is the fruit of this collaboration.
To fully benefit from this training, we recommend participants first attend the course entitled Linear Programming: Modelling and IT implementation
Eurodecision is a French state-approved occupational training organisation (accreditation no. 11780765678).
Course objectives
This course is intended for practitioners and consultants who have already used linear programming to solve business problems and who wish to include uncertainties and risk factors in their problem models. At the end of this course, participants shall be able to implement a simple, effective method for decisions involving uncertainty. The course, based on concrete examples, will help participants to:
- identify the impact of uncertainty in their business cases
- model uncertainty in a linear program
- understand the principle of robust optimisation, which seeks effective solutions whilst providing reasonable control of risks
- learn how to formulate and resolve a robust version of a linear program
- simulate the performance of a robust solution in an uncertain context
- learn about the latest technologies available
To illustrate these concepts and methods, participants will solve typical problems such as:
- warehouse positioning and distribution logistics while taking into account imperfect knowledge of costs
- the mixing problem in manufacturing, with a range of uncertainty concerning the basic components of raw materials used
- production planning with imperfectly controlled storage costs
- portfolio management with guaranteed minimum revenue
- managing production with uncertain demand
To fully benefit from this course, participants should have basic knowledge of linear programming (formulation, resolution via solvers, and duality), equivalent to that taught in Eurodecision's Linear Programming course.
Following this course, participants will have understood that a deterministic approach to a problem with uncertainties may lead to very negative or unacceptable results. They will have learned how to implement a simple, effective method for dealing with uncertainty. They will know how to measure the contribution of a robust approach.
ORDECSYS is a consultancy specialising in technical and scientific studies in logistics and scheduling, as well as in energy management under technical and economical constraints. ORDECSYS has developed optimisation tools to manage very large-scale problems, particularly for distribution network design and analysis.
Detailed outline
Day One
09:00 - 09:30 Reception and course presentation
09:30 - 10:30 Uncertainty in linear programming
10:45 - 12:15 Case study: the mixing problem in production
13:45 - 14:45 Robust solution: analysis and formulation
15:00 - 16:45 Robust solution for the mixing problem in production
16:45 - 17:30 Discussion on attendees' specific problems - Assessment of Day One
Day Two
09:00 - 09:15 Reception
09:15 - 10:30 Robust optimisation and likelihood of satisfying a constraint
10:45 - 12:15 Case study: portfolio management
13:45 - 14:45 Dynamic problems: linear decision rules
15:00 - 16:45 Case study: managing hydro-power production
16:45 - 17:15 Limits and outlook for robust optimisation
17:15 - 17:30 Conclusion and course assessment
Course preparation via the Web
A refresher course covering the prerequisites in linear programming will be made available via the Internet once you have registered for the site. The course will include both presentations and case studies to be carried out on your personal computer. This course is designed for people with both and theoretical practical knowledge of linear programming -- it is not an introductory course.
Course Trainers
This course is led by Jean-Philippe Vial and Frédéric Babonneau. Jean-Philippe Vial, expert in Operational Research and Optimisation, is an Honorary Professor of Logistics at the University of Geneva and former President of the "Mathematical Programming Society". He is co-director of ORDECSYS. Frédéric Babonneau holds a PhD in Operational Research from the University of Geneva. He is a senior consultant with project management experience.
This customised course is held within your company's premises.
ORDECSYS also offers a slightly modified version of this course to participants coming from different companies: presentation of examples adapted to your business, modification of practice assignments, etc.
