Robust Optimization

Algorithmic Approaches for Identifying the Trade-off between Pessimism and Optimism in a Stochastic Fixed Charge Facility Location Problem

  • Man Yiu Tsang
  • Karmel S. Shehadeh
    • Categories Facility Planning and Design, Robust Optimization, Stochastic Programming Tags , , ,

    We introduce new algorithms to identify the trade-off (TRO) between adopting a distributional belief and hedging against ambiguity when modeling uncertainty in a capacitated fixed charge facility location problem (CFLP). We first formulate a TRO model for the CFLP (TRO-CFLP), which determines the number of facilities to open by minimizing the fixed establishment cost and … Read more

    Mixed-Feature Logistic Regression Robust to Distribution Shifts

  • Qingshi Sun
  • Nathan Justin
  • Andrés Gómez
  • Phebe Vayanos
    • Categories Applications - OR and Management Sciences, Integer Programming, Robust Optimization Tags , , ,

    Logistic regression models are widely used in the social and behavioral sciences and in high-stakes domains, due to their simplicity and interpretability properties. At the same time, such domains are permeated by distribution shifts, where the distribution generating the data changes between training and deployment. In this paper, we study a distributionally robust logistic regression … Read more

    Inverse Optimization via Learning Feasible Regions

  • Ke Ren
  • Peyman Mohajerin Esfahani
  • Angelos Georghiou
    • Categories (Mixed) Integer Linear Programming, Nonsmooth Optimization, Robust Optimization Tags , , ,

    We study inverse optimization (IO), where the goal is to use a parametric optimization program as the hypothesis class to infer relationships between input-decision pairs. Most of the literature focuses on learning only the objective function, as learning the constraint function (i.e., feasible regions) leads to nonconvex training programs. Motivated by this, we focus on … Read more

    A data-driven robust approach to a problem of optimal replacement in maintenance

  • Sina Shahri Majarshin
  • Ahmadreza Marandi
  • Geert-Jan van Houtum
    • Categories Applications - OR and Management Sciences, Robust Optimization, Statistics Tags , , ,

    Maintenance strategies are pivotal in ensuring the reliability and performance of critical components within industrial machines and systems. However, accurately determining the optimal replacement time for such components under stress and deterioration remains a complex task due to inherent uncertainties and variability in operating conditions. In this paper, we propose a comprehensive approach based on … Read more

    Data-driven robust menu planning for food services: Reducing food waste by using leftovers

  • Marloes Remijnse
  • Marjolein Buisman
  • Ahmadreza Marandi
  • S.U.K Rohmer
  • Tom Van Woensel
    • Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    With food waste levels of about 30%, mostly caused by overproduction, reducing food waste poses an important challenge in the food service sector. As food is prepared in advance rather than on demand, there is a significant risk that meals or meal components remain uneaten. Flexible meal planning can promote the reuse of these leftovers … Read more

    On the Semidefinite Representability of Continuous Quadratic Submodular Minimization With Applications to Moment Problems

  • Samuel Burer
  • Karthik Natarajan
    • Categories Quadratic Programming, Robust Optimization, Semi-definite Programming Tags , ,

    We show that continuous quadratic submodular minimization with bounds is solvable in polynomial time using semidefinite programming, and we apply this result to two moment problems arising in distributionally robust optimization and the computation of covariance bounds. Accordingly, this research advances the ongoing study of continuous submodular minimization and opens new application areas therein. ArticleDownload … Read more

    Towards Optimal Offline Reinforcement Learning

  • Mengmeng Li
  • Daniel Kuhn
  • Tobias Sutter
    • Categories Robust Optimization Tags ,

    We study offline reinforcement learning problems with a long-run average reward objective. The state-action pairs generated by any fixed behavioral policy thus follow a Markov chain, and the empirical state-action-next-state distribution satisfies a large deviations principle. We use the rate function of this large deviations principle to construct an uncertainty set for the unknown true … Read more

    Solving Decision-Dependent Robust Problems as Bilevel Optimization Problems

  • Henri Lefebvre
  • Martin Schmidt
  • Simon Stevens
  • Johannes Thürauf
    • Categories Bilevel Optimization, Robust Optimization Tags , , ,

    Both bilevel and robust optimization are established fields of mathematical optimization and operations research. However, only until recently, the similarities in their mathematical structure has neither been studied theoretically nor exploited computationally. Based on the recent results by Goerigk et al. (2025), this paper is the first one that reformulates a given strictly robust optimization … Read more

    Mixed Integer Linear Programming Formulations for Robust Surgery Scheduling

  • Ankit Bansal
    • Categories (Mixed) Integer Linear Programming, Robust Optimization, Scheduling

    We introduce Mixed Integer Linear Programming (MILP) formulations for the two-stage robust surgery scheduling problem (2SRSSP). We derive these formulations by modeling the second-stage problem as a longest path problem on a layered acyclic graph and subsequently converting it into a linear program. This linear program is then dualized and integrated with the first-stage, resulting … Read more

    Efficient LP warmstarting for linear modifications of the constraint matrix

  • Guillaume Derval
  • Bardhyl Miftari
  • Quentin Louveaux
    • Categories Linear Programming, Robust Optimization

    We consider the problem of computing the optimal solution and objective of a linear program under linearly changing linear constraints. The problem studied is given by $\min c^t x \text{ s.t } Ax + \lambda Dx \leq b$ where $\lambda$ belongs to a set of predefined values $\Lambda$. Based on the information given by a … Read more