Robust Optimization with Continuous Decision-Dependent Uncertainty with Applications in Demand Response Portfolio Management


We consider a robust optimization problem with continuous decision-dependent uncertainty (RO-CDDU), which has two new features: an uncertainty set linearly dependent on continuous decision variables and a convex piecewise-linear objective function. We prove that RO-CDDU is strongly NP-hard in general and reformulate it into an equivalent mixed-integer nonlinear program (MINLP) with a decomposable structure to address the computational challenges. Such an MINLP model can be further transformed into a mixed-integer linear program (MILP) using extreme points of the dual polyhedron of the uncertainty set. We propose an alternating direction algorithm and a column generation algorithm for RO-CDDU. We model a robust demand response (DR) management problem in electricity markets as RO-CDDU, where electricity demand reduction from users is uncertain and depends on the DR planning decision. Extensive computational results demonstrate the promising performance of the proposed algorithms in both speed and solution quality. The results also shed light on how different magnitudes of decision-dependent uncertainty affect the demand response decision.

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