Related papers: Two-stage robust optimization for orienteering pro…
This paper proposes an algorithm to efficiently solve multistage stochastic programs with block separable recourse where each recourse problem is a multistage stochastic program with stage-wise independent uncertainty. The algorithm first…
Uncertain dynamic obstacles, such as pedestrians or vehicles, pose a major challenge for optimal robot navigation with safety guarantees. Previous work on motion planning has followed two main strategies to provide a safe bound on an…
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stopping, for a robust evaluation that accounts for model…
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed…
Stochastic MPECs have found increasing relevance for modeling a broad range of settings in engineering and statistics. Yet, there seem to be no efficient first/zeroth-order schemes equipped with non-asymptotic rate guarantees for resolving…
Optimal transport (OT) defines a powerful framework to compare probability distributions in a geometrically faithful way. However, the practical impact of OT is still limited because of its computational burden. We propose a new class of…
This paper adopts a two-stage sample robust optimization (SRO) model to address the wind power penetrated unit commitment optimal energy flow (UC-OEF) problem for IEGSs. The two-stage SRO model can be approximately transformed into a…
Two-Stage Vehicle Routing Problems with Stochastic Demands (VRPSDs) form a class of stochastic combinatorial optimization problems where routes are planned in advance, demands are revealed upon vehicle arrival, and recourse actions are…
The Orienteering Problem (OP) is a well-studied routing problem that has been extended to incorporate uncertainties, reflecting stochastic or dynamic travel costs, prize-collection costs, and prizes. Existing approaches may, however, be…
In this work we investigate the min-max-min robust optimization problem and the k-adaptability robust optimization problem for binary problems with uncertain costs. The idea of the first approach is to calculate a set of k feasible…
Stochastic gradient methods are scalable for solving large-scale optimization problems that involve empirical expectations of loss functions. Existing results mainly apply to optimization problems where the objectives are one- or two-level…
We consider the problem of fitting variational posterior approximations using stochastic optimization methods. The performance of these approximations depends on (1) how well the variational family matches the true posterior…
Multi-stage decision-making under uncertainty, where decisions are taken under sequentially revealing uncertain problem parameters, is often essential to faithfully model managerial problems. Given the significant computational challenges…
Optimal-Transport Distributionally Robust Optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline…
Long-term reservoir management often uses bounds on the reservoir level, between which the operator can work. However, these bounds are not always kept up-to-date with the latest knowledge about the reservoir drainage area, and thus become…
We consider the problem of preparing for a disaster season by determining where to open warehouses and how much relief item inventory to preposition in each. Then, after each disaster, prepositioned items are distributed to demand nodes…
A wide range of decision problems can be formulated as bilevel programs with independent followers, which as a special case include two-stage stochastic programs. These problems are notoriously difficult to solve especially when a large…
With the steady increase in global logistics and freight transport demand, the need for efficient and sustainable intermodal transport systems becomes increasingly important. This study addresses the optimization of container movement by…
We present a new Monte Carlo Tree Search (MCTS) algorithm to solve the stochastic orienteering problem with chance constraints, i.e., a version of the problem where travel costs are random, and one is assigned a bound on the tolerable…
Increasing integration of renewable generation poses significant challenges to ensure robustness guarantees in real-time energy system decision-making. This work aims to develop a robust optimal transmission switching (OTS) framework that…