相关论文: Decision Rule Approaches for Pessimistic Bilevel L…

In this paper we deal with stochastic optimization problems where the data distributions change in response to the decision variables. Traditionally, the study of optimization problems with decision-dependent distributions has assumed…

In this paper, we consider a distributionally robust resource planning model inspired by a real-world service industry problem. In this problem, there is a mixture of known demand and uncertain future demand. Prior to having full knowledge…

This paper proposes a novel approach to construct data-driven online solutions to optimization problems (P) subject to a class of distributionally uncertain dynamical systems. The introduced framework allows for the simultaneous learning of…

We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty…

In this paper, we introduce a new class of decision rules, referred to as Constant Depth Decision Rules (CDDRs), for multistage optimization under linear constraints with uncertainty-affected right-hand sides. We consider two uncertainty…

We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature…

Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…

There is a recent interest on first-order methods for linear programming (LP). In this paper,we propose a stochastic algorithm using variance reduction and restarts for solving sharp primal-dual problems such as LP. We show that the…

In this paper, we study a bivariate distributionally robust optimization problem with mean-covariance ambiguity set and half-space support. Under a conventional type of objective function widely adopted in inventory management, option…

Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and losses is ambiguous. In this paper, we take a step further to…

The Stackelberg game model, where a leader commits to a strategy and the follower best responds, has found widespread application, particularly to security problems. In the security setting, the goal is for the leader to compute an optimal…

The main focus of this paper is radius-based (supplier) clustering in the two-stage stochastic setting with recourse, where the inherent stochasticity of the model comes in the form of a budget constraint. In addition to the standard…

Real-life parallel machine scheduling problems can be characterized by: (i) limited information about the exact task duration at scheduling time, and (ii) an opportunity to reschedule the remaining tasks each time a task processing is…

Decision making under uncertainty is challenging since the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs about the model's parameters. However, minimising the…

This paper studies a risk minimization problem with decision dependent data distribution. The problem pertains to the performative prediction setting in which a trained model can affect the outcome estimated by the model. Such dependency…

This work addresses the uniform parallel machine scheduling problem within an optimistic bilevel optimization framework. The leader seeks to minimize the weighted number of tardy jobs, while the follower aims to minimize the total…

In this paper we extend the well-known L-Shaped method to solve two-stage stochastic programming problems with decision-dependent uncertainty. The method is based on a novel, unifying, formulation and on distribution-specific optimality and…

The authors' paper in Optimization 63 (2014), 505-533, see Ref. [5], was the first one to provide detailed optimality conditions for pessimistic bilevel optimization. The results there were based on the concept of the two-level optimal…

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…

This work uniquely combines an affine linear decision rule known from adjustable robustness with min-max-regret robustness. By doing so, the advantages of both concepts can be obtained with an adjustable solution that is not…