Xin Chen

A Tractable Approximation of Stochastic Programming via Robust Optimization

  • Xin Chen
  • Peng Sun
  • Jiawei Zhang
  • Melvyn Sim
    • Categories Robust Optimization, Second-Order Cone Programming, Stochastic Programming Tags , , ,

    Stochastic programming, despite its immense modeling capabilities, is well known to be computationally excruciating. In this paper, we introduce a unified framework of approximating multiperiod stochastic programming from the perspective of robust optimization. Specifically, we propose a framework that integrates multistage modeling with safeguarding constraints. The framework is computationally tractable in the form of second … Read more

    A Robust Optimization Perspective of Stochastic Programming

  • Xin Chen
  • Peng Sun
  • Melvyn Sim
    • Categories Robust Optimization, Stochastic Programming Tags , ,

    In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for bounded random variables known as the forward and backward deviations. These deviation measures capture distributional asymmetry and lead to better approximations of chance constraints. We also propose a tractable robust optimization approach for obtaining robust solutions … Read more