Zhi Chen

Robust Stochastic Optimization Made Easy with RSOME

  • Melvyn Sim
  • Peng Xiong
  • Zhi Chen
    • Categories Robust Optimization, Stochastic Programming Tags , ,

    We present a new distributionally robust optimization model called robust stochastic optimization (RSO), which unifies both scenario-tree based stochastic linear optimization and distributionally robust optimization in a practicable framework that can be solved using the state-of-the-art commercial optimization solvers. We also develop a new algebraic modeling package, RSOME to facilitate the implementation of RSO models. … Read more

    Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets

  • Melvyn Sim
  • Huan Xu
  • Zhi Chen
    • Categories Robust Optimization Tags ,

    We consider a distributionally robust optimization problem where the ambiguity set of probability distributions is characterized by a tractable conic representable support set and expectation constraints. Specifically, we propose and motivate a new class of infinitely constrained ambiguity sets in which the number of expectation constraints could potentially be infinite. We show how the infinitely … Read more