Daniel Duque Distributionally robust optimization is a popular modeling paradigm in which the underlying distribution of the random parameters in a stochastic optimization model is unknown. Therefore, hedging against a range of distributions, properly characterized in an ambiguity set, is of interest. We study two-stage stochastic programs with linear recourse in the context of distributional ambiguity, and … Read more
Hurricanes can cause severe property damage and casualties in coastal regions. Diesel fuel plays a crucial role in hurricane disaster relief. It is important to optimize fuel supply chain operations so that emergency demand for diesel can be mitigated in a timely manner. However, it can be challenging to estimate demand for fuel and make … Read more
We consider a multi-stage stochastic linear program that lends itself to solution by stochastic dual dynamic programming (SDDP). In this context, we consider a distributionally robust variant of the model with a finite number of realizations at each stage. Distributional robustness is with respect to the probability mass function governing these realizations. We describe a … Read more