Related papers: A novel multi-stage multi-scenario multi-objective…
This work proposes a framework for multistage adjustable robust optimization that unifies the treatment of three different types of endogenous uncertainty, where decisions, respectively, (i) alter the uncertainty set, (ii) affect the…
Multi-stage stochastic optimization lies at the core of decision-making under uncertainty. As the analytical solution is available only in exceptional cases, dynamic optimization aims to efficiently find approximations but often neglects…
Robust optimization typically follows a worst-case perspective, where a single scenario may determine the objective value of a given solution. Accordingly, it is a challenging task to reduce the size of an uncertainty set without changing…
Multi-stage stochastic programming is a well-established framework for sequential decision making under uncertainty by seeking policies that are fully adapted to the uncertainty. Often such flexible policies are not desirable, and the…
Multistage stochastic programming provides a modeling framework for sequential decision-making problems that involve uncertainty. One typically overlooked aspect of this methodology is how uncertainty is incorporated into modeling.…
Sustainable forest management requires handling uncertainty introduced from various sources, considering different conflicting economic, environmental, and social objectives, and involving multiple decision-making periods. This study…
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To…
We study multistage distributionally robust optimization (DRO) to hedge against ambiguity in quantifying the underlying uncertainty of a problem. Recognizing that not all the realizations and scenario paths might have an "effect" on the…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…
Influence diagrams are widely employed to represent multi-stage decision problems in which each decision is a choice from a discrete set of alternatives, uncertain chance events have discrete outcomes, and prior decisions may influence the…
The scenario approach provides a powerful data-driven framework for designing solutions under uncertainty with rigorous probabilistic robustness guarantees. Existing theory, however, primarily addresses assessing robustness with respect to…
Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…
We consider the optimization of an uncertain objective over continuous and multi-dimensional decision spaces in problems in which we are only provided with observational data. We propose a novel algorithmic framework that is tractable,…
Bilevel optimization is a powerful tool for modeling hierarchical decision making processes. However, the resulting problems are challenging to solve - both in theory and practice. Fortunately, there have been significant algorithmic…
We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…
Bayesian optimization is a popular tool for data-efficient optimization of expensive objective functions. In real-life applications like engineering design, the designer often wants to take multiple objectives as well as input uncertainty…
The paper develops a novel design optimization framework and associated computational techniques for staged deployment optimization of complex systems under operational uncertainties. It proposes a local scenario discretization method that…
Most decision-focused learning work has focused on single stage problems whereas many real-world decision problems are more appropriately modelled using multistage optimisation. In multistage problems contextual information is revealed over…
The efficacy of robust optimization spans a variety of settings with uncertainties bounded in predetermined sets. In many applications, uncertainties are affected by decisions and cannot be modeled with current frameworks. This paper takes…
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is therefore of central importance for the tractability of the…