Distributionally Ambiguous Multistage Stochastic Integer and Disjunctive Programs: Applications to Sequential Two-player Interdiction Games

This paper studies the generalizations of multistage stochastic mixed-integer programs (MSIPs) with distributional ambiguity, namely distributionally risk-receptive and risk-averse multistage stochastic mixed-integer programs (denoted by DRR- and DRA-MSIPs). These modeling frameworks have applications in non-cooperative Stackelberg games involving two players, namely a leader and a follower, with uncertainty in the impact of the decisions made … Read more

Distributionally risk-receptive and risk-averse network interdiction problems with general ambiguity set

We introduce generalizations of stochastic network interdiction problem with distributional ambiguity. Specifically, we consider a distributionally risk-averse (or robust) network interdiction problem (DRA-NIP) and a distributionally risk-receptive network interdiction problem (DRR-NIP) where a leader maximizes a follower’s minimal expected objective value for either the worst-case or the best-case, respectively, probability distribution belonging to ambiguity set … Read more