Angelos Georghiou

Distributionally Robust Optimization with Decision-Dependent Information Discovery

  • Qing Jin
  • Angelos Georghiou
  • Phebe Vayanos
  • Grani A. Hanasusanto
    • Categories Robust Optimization Tags , , , , ,

    We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the first stage. This class of problems finds many important applications in selection problems (e.g., in hiring, project portfolio optimization, or optimal sensor location). … Read more

    Risk-averse Regret Minimization in Multi-stage Stochastic Programs

  • Mehran Poursoltani
  • Erick Delage
  • Angelos Georghiou
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , ,

    Within the context of optimization under uncertainty, a well-known alternative to minimizing expected value or the worst-case scenario consists in minimizing regret. In a multi-stage stochastic programming setting with a discrete probability distribution, we explore the idea of risk-averse regret minimization, where the benchmark policy can only benefit from foreseeing Delta steps into the future. … Read more

    Exact and Approximate Schemes for Robust Optimization Problems with Decision Dependent Information Discovery

  • Said Dabia
  • Angelos Georghiou
  • Rosario Paradiso
  • Denise Tönissen
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , , , ,

    Uncertain optimization problems with decision dependent information discovery allow the decision maker to control the timing of information discovery, in contrast to the classic multistage setting where uncertain parameters are revealed sequentially based on a prescribed filtration. This problem class is useful in a wide range of applications, however, its assimilation is partly limited by … Read more

    On the Optimality of Affine Decision Rules in Robust and Distributionally Robust Optimization

  • Angelos Georghiou
  • Angelos Tsoukalas
  • Wolfram Wiesemann
    • Categories Robust Optimization Tags ,

    We propose tight conditions under which two-stage robust and distributionally robust optimization problems are optimally solved in affine decision rules. Contrary to previous work, our conditions do not impose any structure on the support of the uncertain problem parameters, and they ensure point-wise (as opposed to worst-case) optimality of affine decision rules. The absence of … Read more

    A Robust Optimization Approach to Network Control Using Local Information Exchange

  • Georgios Darivianakis
  • Angelos Georghiou
  • Soroosh Shafieezadeh-Abadeh
  • John Lygeros
    • Categories Robust Optimization Tags

    Designing policies for a network of agents is typically done by formulating an optimization problem where each agent has access to state measurements of all the other agents in the network. Such policy designs with centralized information exchange results in optimization problems that are typically hard to solve, require to establish substantial communication links, and … Read more

    Robust Optimization with Decision-Dependent Information Discovery

  • Phebe Vayanos
  • Angelos Georghiou
  • Han Yu
    • Categories Robust Optimization Tags , , ,

    Robust optimization (RO) is a popular paradigm for modeling and solving two- and multi-stage decision-making problems affected by uncertainty. In many real-world applications, such as R&D project selection, production planning, or preference elicitation for product or policy recommendations, the time of information discovery is decision-dependent and the uncertain parameters only become observable after an often costly … Read more

    A Primal-Dual Lifting Scheme for Two-Stage Robust Optimization

  • Angelos Georghiou
  • Angelos Tsoukalas
  • Wolfram Wiesemann
    • Categories Robust Optimization Tags , , ,

    Two-stage robust optimization problems, in which decisions are taken both in anticipation of and in response to the observation of an unknown parameter vector from within an uncertainty set, are notoriously challenging. In this paper, we develop convergent hierarchies of primal (conservative) and dual (progressive) bounds for these problems that trade off the competing goals … Read more

    Robust Dual Dynamic Programming

  • Angelos Georghiou
  • Angelos Tsoukalas
  • Wolfram Wiesemann
    • Categories Robust Optimization Tags , , ,

    Multi-stage robust optimization problems, where the decision maker can dynamically react to consecutively observed realizations of the uncertain problem parameters, pose formidable theoretical and computational challenges. As a result, the existing solution approaches for this problem class typically determine subopti- mal solutions under restrictive assumptions. In this paper, we propose a robust dual dynamic programming … Read more

    Low-complexity method for hybrid MPC with local guarantees

  • Alexander Domahidi
  • Angelos Georghiou
  • Damian Frick
  • Juan L. Jerez
  • Manfred Morari
    • Categories Constrained Nonlinear Optimization, Control Applications Tags , , ,

    Model predictive control problems for constrained hybrid systems are usually cast as mixed-integer optimization problems (MIP). However, commercial MIP solvers are designed to run on desktop computing platforms and are not suited for embedded applications which are typically restricted by limited computational power and memory. To alleviate these restrictions, we develop a novel low-complexity, iterative … Read more

    The Power of Diversity: Data-Driven Robust Predictive Control for Energy Efficient Buildings and Districts

  • Georgios Darivianakis
  • Angelos Georghiou
  • John Lygeros
  • Roy S. Smith
    • Categories Applications - OR and Management Sciences Tags , ,

    The cooperative energy management of aggregated buildings has recently received a great deal of interest due to substantial potential energy savings. These gains are mainly obtained in two ways: (i) Exploiting the load shifting capabilities of the cooperative buildings; (ii) Utilizing the expensive but energy efficient equipment that is commonly shared by the building community … Read more