Related papers: Markov Chain-based Policies for Multi-stage Stocha…
In this study, we consider two classes of multicriteria two-stage stochastic programs in finite probability spaces with multivariate risk constraints. The first-stage problem features a multivariate stochastic benchmarking constraint based…
In this paper, we address the problem of reconfiguring Earth observation satellite constellation systems through multiple stages. The Multi-stage Constellation Reconfiguration Problem (MCRP) aims to maximize the total observation rewards…
Synthetic likelihood (SL) is a strategy for parameter inference when the likelihood function is analytically or computationally intractable. In SL, the likelihood function of the data is replaced by a multivariate Gaussian density over…
This paper addresses the single-item single-stocking location stochastic lot sizing problem under the $(s, S) $ policy. We first present a mixed integer non-linear programming (MINLP) formulation for determining near-optimal $(s, S)$ policy…
We provide performance guarantees for a variant of simulation-based policy iteration for controlling Markov decision processes that involves the use of stochastic approximation algorithms along with state-of-the-art techniques that are…
We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisions made in previous stages. We first consider two ambiguity…
In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The proposed algorithms integrate the adaptive partition-based…
In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such problems is constrained Markov decision process (CMDP). When…
Stochastic programming provides a natural framework for modeling sequential optimization problems under uncertainty; however, the efficient solution of large-scale multistage stochastic programs remains a challenge, especially in the…
We study a two-stage mixed-integer linear program (MILP) with more than 1 million binary variables in the second stage. We develop a two-level approach by constructing a semi-coarse model (coarsened with respect to variables) and a coarse…
Two-stage stochastic programs become computationally challenging when the number of scenarios representing parameter uncertainties grows. Motivated by this, we propose the TULIP-algorithm ("Two-step warm start method Used for solving…
This paper studies the computation of robust deterministic policies for Markov Decision Processes (MDPs) in the Lightning Does Not Strike Twice (LDST) model of Mannor, Mebel and Xu (ICML '12). In this model, designed to provide robustness…
Although many real-world stochastic planning problems are more naturally formulated by hybrid models with both discrete and continuous variables, current state-of-the-art methods cannot adequately address these problems. We present the…
Factored Markov decision processes (MDPs) are a prominent paradigm within the artificial intelligence community for modeling and solving large-scale MDPs whose rewards and dynamics decompose into smaller, loosely interacting components.…
We study the multi-stage stochastic unit commitment problem in which commitment and generation decisions can be made and adjusted in each time period. We formulate this problem as a Markov decision process, which is "weakly-coupled" in the…
This paper proposes a neural stochastic optimization method for efficiently solving the two-stage stochastic unit commitment (2S-SUC) problem under high-dimensional uncertainty scenarios. The proposed method approximates the second-stage…
Markov decisions processes (MDPs) are becoming increasing popular as models of decision theoretic planning. While traditional dynamic programming methods perform well for problems with small state spaces, structured methods are needed for…
Multistage Stochastic Programming (MSP) is a class of models for sequential decision-making under uncertainty. MSP problems are known for their computational intractability due to the sequential nature of the decision-making structure and…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
We propose a new algorithm for solving multistage stochastic mixed integer linear programming (MILP) problems with complete continuous recourse. In a similar way to cutting plane methods, we construct nonlinear Lipschitz cuts to build lower…