Aakil Caunhye

Ambiguity Updating Robust Architecture: Towards Time Consistency in Multi-period DRO

Categories Robust Optimization, Stochastic Programming Tags , ,

Multi-period distributionally robust optimization (DRO) is in general not time consistent. For a given multi-period DRO problem with generalized moments ambiguity, we propose an Ambiguity Updating Robust Architecture (AURA) that constructs the ambiguity set of all conditional distributions-to-go, given the realized uncertainty. We prove that AURA is time consistent, but is more conservative than the … Read more

Practicable Robust Stochastic Optimization under Divergence Measures

Categories Robust Optimization, Stochastic Programming Tags , , , , ,

We seek to provide practicable approximations of the two-stage robust stochastic optimization (RSO) model when its ambiguity set is constructed with an f-divergence radius. These models are known to be numerically challenging to various degrees, depending on the choice of the f-divergence function. The numerical challenges are even more pronounced under mixed-integer rst-stage decisions. In … Read more