Wolfram Wiesemann Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces hydropower producers to recover part of their original profitability on the reserve markets. We propose a bi-layer stochastic programming framework for the … Read more
The COVID-19 pandemic has seen dramatic demand surges for hospital care that have placed a severe strain on health systems worldwide. As a result, policy makers are faced with the challenge of managing scarce hospital capacity so as to reduce the backlog of non-COVID patients whilst maintaining the ability to respond to any potential future … Read more
We study non-convex optimization problems over simplices. We show that for a large class of objective functions, the convex approximation obtained from the Reformulation-Linearization Technique (RLT) admits optimal solutions that exhibit a sparsity pattern. This characteristic of the optimal solutions allows us to conclude that (i) a linear matrix inequality constraint, which is often added … Read more
When a firm selects an assortment of products to offer to customers, it uses a choice model to anticipate their probability of purchasing each product. In practice, the estimation of these models is subject to statistical errors, which may lead to significantly suboptimal assortment decisions. Recent work has addressed this issue using robust optimization, where … Read more
Robust Markov decision processes (MDPs) allow to compute reliable solutions for dynamic decision problems whose evolution is modeled by rewards and partially-known transition probabilities. Unfortunately, accounting for uncertainty in the transition probabilities significantly increases the computational complexity of solving robust MDPs, which severely limits their scalability. This paper describes new efficient algorithms for solving the … Read more
Wasserstein balls, which contain all probability measures within a pre-specified Wasserstein distance to a reference measure, have recently enjoyed wide popularity in the distributionally robust optimization and machine learning communities to formulate and solve data-driven optimization problems with rigorous statistical guarantees. In this technical note we prove that the Wasserstein ball is weakly compact under … Read more
The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood that identifies a probability measure which lies in the neighborhood of the nominal measure and that maximizes the probability of observing … Read more
A fundamental problem arising in many areas of machine learning is the evaluation of the likelihood of a given observation under different nominal distributions. Frequently, these nominal distributions are themselves estimated from data, which makes them susceptible to estimation errors. We thus propose to replace each nominal distribution with an ambiguity set containing all distributions … Read more
We study a variant of the capacitated vehicle routing problem (CVRP), which asks for the cost-optimal delivery of a single product to geographically dispersed customers through a fleet of capacity-constrained vehicles. Contrary to the classical CVRP, which assumes that the customer demands are deterministic, we model the demands as a random vector whose distribution is … Read more
We provide an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand side uncertainty, our reformulation amounts to a mixed-integer conic program. In the special case of a Wasserstein ball with the $1$-norm or the $\infty$-norm, the cone is the nonnegative … Read more