Robust Optimization with Continuous Decision-Dependent Uncertainty

We consider a robust optimization problem with continuous decision-dependent uncertainty (RO-CDDU). RO-CDDU has two main features that have not been addressed in the literature: an uncertainty set with linear dependence on continuous decision variables and a convex piecewise-linear objective function. We prove that RO-CDDU is NP-hard in general. To address the computational challenges, we reformulate … Read more

Two-Stage Robust Optimization with Decision Dependent Uncertainty

The type of decision dependent uncertainties (DDUs) imposes a great challenge in decision making, while existing methodologies are not sufficient to support many real practices. In this paper, we present a systematic study to handle this challenge in two-stage robust optimization~(RO). Our main contributions include three sophisticated variants of column-and-constraint generation method to exactly compute … Read more

ROC++: Robust Optimization in C++

Over the last two decades, robust optimization techniques have emerged as a very popular means to address decision-making problems affected by uncertainty. Their success has been fueled by their attractive robustness and scalability properties, by ease of modeling, and by the limited assumptions they need about the uncertain parameters to yield meaningful solutions. Robust optimization … Read more

Robust Software Partitioning with Multiple Instantiation

The purpose of software partitioning is to assign code segments of a given computer program to a range of execution locations such as general purpose processors or specialist hardware components. These execution locations differ in speed, communication characteristics, and in size. In particular, hardware components offering high speed tend to accommodate only few code segments. … Read more