相关论文: Robust personalized pricing under uncertainty of p…

Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…

In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…

Distributionally robust optimization is used to tackle decision making problems under uncertainty where the distribution of the uncertain data is ambiguous. Many ambiguity sets have been proposed for continuous uncertainty that build on…

In this paper, the problem of load uncertainty in compliance problems is addressed where the uncertainty is described in the form of a set of finitely many loading scenarios. Computationally more efficient methods are proposed to exactly…

Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly…

We investigate finite-dimensional constrained structured optimization problems, featuring composite objective functions and set-membership constraints. Offering an expressive yet simple language, this problem class provides a modeling…

In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…

We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…

We address differential privacy for fully distributed optimization subject to a shared inequality constraint. By co-designing the distributed optimization mechanism and the differential-privacy noise injection mechanism, we propose the…

Real-world problems typically require the simultaneous optimization of several, often conflicting objectives. Many of these multi-objective optimization problems are characterized by wide ranges of uncertainties in their decision variables…

Robust optimization is a method for optimization under uncertainties in engineering systems and designs for applications ranging from aeronautics to nuclear. In a robust design process, parameter variability (or uncertainty) is incorporated…

In this work, we study a single-machine scheduling problem that aims at minimizing the total cost of a schedule subject to start-time dependent costs. This framework naturally captures scenarios where costs fluctuate throughout the day,…

The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…

This paper tackles challenges in pricing and revenue projections due to consumer uncertainty. We propose a novel data-based approach for firms facing unknown consumer type distributions. Unlike existing methods, we assume firms only observe…

It is nowadays widely acknowledged that optimal structural design should be robust with respect to the uncertainties in loads and material parameters. However, there are several alternatives to consider such uncertainties in structural…

This paper studies binary linear programming problems in the presence of uncertainties that may cause solution values to change during implementation. This type of uncertainty, termed implementation uncertainty, is modeled explicitly…

We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…

In classic robust optimization, it is assumed that a set of possible parameter realizations, the uncertainty set, is modeled in a previous step and part of the input. As recent work has shown, finding the most suitable uncertainty set is in…

We investigate a data-driven approach to constructing uncertainty sets for robust optimization problems, where the uncertain problem parameters are modeled as random variables whose joint probability distribution is not known. Relying only…

In this work, we propose a robust optimization approach to mitigate the impact of uncertainties in particle precipitation. Our model incorporates partial differential equations, more particular nonlinear and nonlocal population balance…