相关论文: Two-stage robust optimization for orienteering pro…

As predictive models are increasingly being deployed in high-stakes decision making (e.g., loan approvals), there has been growing interest in post hoc techniques which provide recourse to affected individuals. These techniques generate…

Matching demand (riders) to supply (drivers) efficiently is a fundamental problem for ride-sharing platforms who need to match the riders (almost) as soon as the request arrives with only partial knowledge about future ride requests. A…

Two-time-scale optimization is a framework introduced in Zeng et al. (2024) that abstracts a range of policy evaluation and policy optimization problems in reinforcement learning (RL). Akin to bi-level optimization under a particular type…

We propose a novel approach to solve K-adaptability problems with convex objective and constraints and integer first-stage decisions. A logic-based Benders decomposition is applied to handle the first-stage decisions in a master problem,…

We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multistage stochastic integer program to adjust the capacity…

In this paper a class of combinatorial optimization problems is discussed. It is assumed that a solution can be constructed in two stages. The current first-stage costs are precisely known, while the future second-stage costs are only known…

In this paper, we consider an adaptive approach to address optimization problems with uncertain cost parameters. Here, the decision maker selects an initial decision, observes the realization of the uncertain cost parameters, and then is…

This paper considers a recoverable robust single-machine scheduling problem under polyhedral uncertainty with the objective of minimising the total flow time. In this setting, a decision-maker must determine a first-stage schedule subject…

Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…

Robust optimisation is a well-established framework for optimising functions in the presence of uncertainty. The inherent goal of this problem is to identify a collection of inputs whose outputs are both desirable for the decision maker,…

Multiple and usually conflicting objectives subject to data uncertainty are main features in many real-world problems. Consequently, in practice, decision-makers need to understand the trade-off between the objectives, considering different…

We consider solving large scale nonconvex optimisation problems with nonnegativity constraints. Such problems arise frequently in machine learning, such as nonnegative least-squares, nonnegative matrix factorisation, as well as problems…

We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…

We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…

This paper presents an end-to-end framework for calibrating wind power forecast models to minimize operational costs in two-stage power markets, where the first stage involves a distributionally robust optimal power flow (DR-OPF) model.…

Two-stage bipartite matching is a fundamental problem of optimization under uncertainty introduced by Feng, Niazadeh, and Saberi (2021), who study it under the stochastic and adversarial paradigms of uncertainty. We propose a method to…

This paper proposes a two-stage approach to formulate the time-optimal point-to-point motion planning problem, involving a first stage with a fixed time grid and a second stage with a variable time grid. The proposed approach brings…

Bayesian optimization is a sample-efficient method for solving expensive, black-box optimization problems. Stochastic programming concerns optimization under uncertainty where, typically, average performance is the quantity of interest. In…

There is a growing need for new optimization methods to facilitate the reliable and cost-effective operation of power systems with intermittent renewable energy resources. In this paper, we formulate the robust AC optimal power flow…

The Bayesian inversion method demonstrates significant potential for solving inverse problems, enabling both point estimation and uncertainty quantification (UQ). However, Bayesian maximum a posteriori (MAP) estimation may become unstable…