Daniel Faccini

Bounds for Multistage Mixed-Integer Distributionally Robust Optimization

  • Güzin Bayraksan
  • Francesca Maggioni
  • Daniel Faccini
  • Ming Yang
    • Categories Robust Optimization, Stochastic Programming Tags , , , ,

    Multistage mixed-integer distributionally robust optimization (DRO) forms a class of extremely challenging problems since their size grows exponentially with the number of stages. One way to model the uncertainty in multistage DRO is by creating sets of conditional distributions (the so-called conditional ambiguity sets) on a finite scenario tree and requiring that such distributions remain … Read more

    Robust and Distributionally Robust Optimization Models for Support Vector Machine

  • Daniel Faccini
  • Francesca Maggioni
  • Florian A. Potra
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    In this paper we present novel data-driven optimization models for Support Vector Machines (SVM), with the aim of linearly separating two sets of points that have non-disjoint convex closures. Traditional classi cation algorithms assume that the training data points are always known exactly. However, real-life data are often subject to noise. To handle such uncertainty, we … Read more