Robust Optimization

Minimizing delays of patient transports with incomplete information: A modeling approach based on the Vehicle Routing Problem

  • Dennis Adelhütte
  • Kristin Braun
  • Frauke Liers
  • Sebastian Tschuppik
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    We investigate a challenging task in ambulatory care, the minimizing of delays of patient transports. In practice, a limited number of vehicles is available for non-rescue transports. Furthermore, the dispatcher rarely has access to complete information when establishing a transport plan for dispatching the vehicles. If additional transport is requested on demand then schedules need … Read more

    A Bilevel Optimization Approach to Decide the Feasibility of Bookings in the European Gas Market

  • Martine Labbé
  • Martin Schmidt
  • Johannes Thürauf
  • Fränk Plein
    • Categories (Mixed) Integer Nonlinear Programming, Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    The European gas market is organized as a so-called entry-exit system with the main goal to decouple transport and trading. To this end, gas traders and the transmission system operator (TSO) sign so-called booking contracts that grant capacity rights to traders to inject or withdraw gas at certain nodes up to this capacity. On a … Read more

    Utility Preference Robust Optimization with Moment-Type Information Structure

  • Shaoyan Guo
  • Huifu Xu
    • Categories Robust Optimization Tags , , , , ,

    Utility preference robust optimization (PRO) models are recently proposed to deal with decision making problems where the decision maker’s true utility function is unknown and the optimal decision is based on the worst case utility function from an ambiguity set of utility functions. In this paper, we consider the case where the ambiguity set is … Read more

    Robust and Distributionally Robust Optimization Models for Support Vector Machine

  • Daniel Faccini
  • Francesca Maggioni
  • Florian A. Potra
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    In this paper we present novel data-driven optimization models for Support Vector Machines (SVM), with the aim of linearly separating two sets of points that have non-disjoint convex closures. Traditional classi cation algorithms assume that the training data points are always known exactly. However, real-life data are often subject to noise. To handle such uncertainty, we … Read more

    Vessel Deployment with Limited Information: Distributionally Robust Chance Constrained Models

  • Yue Zhao
  • Zhi Chen
  • Andrew Lim
  • Zhenzhen Zhang
    • Categories Robust Optimization, Transportation Tags , , , , ,

    This paper studies the fundamental vessel deployment problem in the liner shipping industry, which decides the numbers of mixed-type ships and their sailing frequencies on fixed routes to provide sufficient vessel capacity for fulfilling stochastic shipping demands with high probability. In reality, it is usually difficult (if not impossible) to acquire a precise joint distribution … Read more

    A Steepest Descent Method for Set Optimization Problems with Set-Valued Mappings of Finite Cardinality

  • Gemayqzel Bouza
  • Christiane Tammer
  • Ernest Quintana
    • Categories Multi-Criteria Optimization, Robust Optimization Tags , , ,

    In this paper, we study a first-order solution method for a particular class of set optimization problems where the solution concept is given by the set approach. We consider the case in which the set-valued objective mapping is identified by a finite number of continuously differentiable selections. The corresponding set optimization problem is then equivalent … Read more

    Reliable Off-policy Evaluation for Reinforcement Learning

  • Rui Gao
  • Jie Wang
  • Hongyuan Zha
    • Categories Robust Optimization

    In a sequential decision-making problem, off-policy evaluation estimates the expected cumulative reward of a target policy using logged trajectory data generated from a different behavior policy, without execution of the target policy. Reinforcement learning in high-stake environments, such as healthcare and education, is often limited to off-policy settings due to safety or ethical concerns, or … Read more

    A Robust Approach for Modeling Limited Observability in Bilevel Optimization

  • Yasmine Beck
  • Martin Schmidt
    • Categories Finance and Economics, Robust Optimization Tags , , , ,

    In bilevel optimization, hierarchical optimization problems are considered in which two players – the leader and the follower – act and react in a non-cooperative and sequential manner. In many real-world applications, the leader may face a follower whose reaction deviates from the one expected by the leader due to some kind of bounded rationality. … Read more

    Heteroscedasticity-aware residuals-based contextual stochastic optimization

  • Rohit Kannan
  • Güzin Bayraksan
  • James R. Luedtke
    • Categories Robust Optimization, Stochastic Programming Tags , , , , , ,

    We explore generalizations of some integrated learning and optimization frameworks for data-driven contextual stochastic optimization that can adapt to heteroscedasticity. We identify conditions on the stochastic program, data generation process, and the prediction setup under which these generalizations possess asymptotic and finite sample guarantees for a class of stochastic programs, including two-stage stochastic mixed-integer programs … Read more

    First-order algorithms for robust optimization problems via convex-concave saddle-point Lagrangian reformulation

  • Krzysztof Postek
  • Shimrit Shtern
    • Categories Convex Optimization, Robust Optimization

    Robust optimization (RO) is one of the key paradigms for solving optimization problems affected by uncertainty. Two principal approaches for RO, the robust counterpart method and the adversarial approach, potentially lead to excessively large optimization problems. For that reason, first order approaches, based on online-convex-optimization, have been proposed (Ben-Tal et al. (2015), Kilinc-Karzan and Ho-Nguyen … Read more