column-and-constraint generation method

Two-Stage Distributionally Robust Optimization: Intuitive Understanding and Algorithm Development from the Primal Perspective

  • Zhengsong Lu
  • Bo Zeng
    • Categories Robust Optimization, Semi-infinite Programming Tags , ,

    In this paper, we study the two-stage distributionally robust optimization (DRO) problem from the primal perspective. Unlike existing approaches, this perspective allows us to build a deeper and more intuitive understanding on DRO, to leverage classical and well established solution methods and to develop a general and fast decomposition algorithm (and its variants), and to … Read more

    Data-driven Prediction of Relevant Scenarios for Robust Combinatorial Optimization

  • Marc Goerigk
  • Jannis Kurtz
    • Categories Optimization in Data Science, Robust Optimization Tags , , ,

    We study iterative methods for (two-stage) robust combinatorial optimization problems with discrete uncertainty. We propose a machine-learning-based heuristic to determine starting scenarios that provide strong lower bounds. To this end, we design dimension-independent features and train a Random Forest Classifier on small-dimensional instances. Experiments show that our method improves the solution process for larger instances … Read more

    Exploring the Modeling Capacity of Two-stage Robust Optimization — Two Variants of Robust Unit Commitment Model

  • Yu An
  • Bo Zeng
    • Categories Applications - Science and Engineering, Robust Optimization Tags , ,

    To handle significant variability in loads, renewable energy generation, as well as various contingencies, two-stage robust optimization method has been adopted to construct unit commitment models and to ensure reliable solutions. In this paper, we further explore and extend the modeling capacity of two-stage robust optimization and present two new robust unit commitment variants, the … Read more