adaptive robust optimization

A Double-oracle, Logic-based Benders decomposition approach to solve the K-adaptability problem

  • Alireza Ghahtarani
  • Ahmed Saif
  • Alireza Ghasemi
  • Erick Delage
    • Categories Combinatorial Optimization, Robust Optimization Tags , , , ,

    We propose a novel approach to solve K-adaptability problems with convex objective and constraints and integer first-stage decisions. A logic-based Benders decomposition is applied to handle the first-stage decisions in a master problem, thus the sub-problem becomes a min-max-min robust combinatorial optimization problem that is solved via a double-oracle algorithm that iteratively generates adverse scenarios … Read more

    Adaptive robust optimization with discrete uncertainty

  • Henri Lefebvre
  • Enrico Malaguti
  • Michele Monaci
    • Categories Robust Optimization Tags , , ,

    In this paper, we study adaptive robust optimization problems with discrete uncertainty. We first show that an adaptive robust counterpart of the multiple knapsack problem includes $\Sigma_2^P$-hard problems. Then, we theoretically prove the validity of a non-trivial reformulation of this class of problems which can be solved by an enumerative algorithm akin to a Branch-and-Benders-cut … Read more

    European Gas Infrastructure Expansion Planning: An Adaptive Robust Optimization Approach

  • Iegor Riepin
  • Matthew Schmidt
  • Luis Baringo
  • Felix Müsgens
    • Categories Finance and Economics, Robust Optimization Tags , , ,

    The European natural gas market is undergoing fundamental changes, fostering uncertainty regarding both supply and demand. This uncertainty is concentrated in the value of strategic infrastructure investments, e.g., projects of common interest supported by European Union public funds, to safeguard security of supply. This paper addresses this matter by suggesting an adaptive robust optimization framework … Read more

    Pareto Adaptive Robust Optimality via a Fourier-Motzkin Elimination Lens

  • Dimitris Bertsimas
  • Stefan ten Eikelder
  • Dick den Hertog
  • Nikolaos Trichakis
    • Categories Robust Optimization Tags , , , ,

    We formalize the concept of Pareto Adaptive Robust Optimality (PARO) for linear Adaptive Robust Optimization (ARO) problems. A worst-case optimal solution pair of here-and-now decisions and wait-and-see decisions is PARO if it cannot be Pareto dominated by another solution, i.e., there does not exist another such pair that performs at least as good in all … Read more

    Adaptive Robust Optimization with Dynamic Uncertainty Sets for Multi-Period Economic Dispatch under Significant Wind

  • Alvaro Lorca
  • Xu Andy Sun
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , ,

    The exceptional benefits of wind power as an environmentally responsible renewable energy resource have led to an increasing penetration of wind energy in today’s power systems. This trend has started to reshape the paradigms of power system operations, as dealing with uncertainty caused by the highly intermittent and uncertain wind power becomes a significant issue. … Read more