Pareto Adaptive Robust Optimality via a Fourier-Motzkin Elimination Lens

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

Dual bounds for periodical stochastic programs

In this paper we discuss construction of the dual of a periodical formulation of infinite horizon linear stochastic programs with a discount factor. The dual problem is used for computing a deterministic upper bound for the optimal value of the considered multistage stochastic program. Numerical experiments demonstrate behavior of that upper bound especially when the … Read more

Lagrangian Dual Decision Rules for Multistage Stochastic Mixed Integer Programming

Multistage stochastic programs can be approximated by restricting policies to follow decision rules. Directly applying this idea to problems with integer decisions is difficult because of the need for decision rules that lead to integral decisions. In this work, we introduce Lagrangian dual decision rules (LDDRs) for multistage stochastic mixed integer programming (MSMIP) which overcome … Read more

Periodical Multistage Stochastic Programs

In some applications the considered multistage stochastic programs have a periodical behavior. We show that in such cases it is possible to drastically reduce the number of stages by introducing a periodical analog of the so-called Bellman equations for discounted infinite horizon problems, used in Markov Decision Processes and Stochastic Optimal Control. Furthermore, we describe … Read more

Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming

In this tutorial we discuss several aspects of modeling and solving multistage stochastic programming problems. In particular we discuss distributionally robust and risk averse approaches to multistage stochastic programming, and the involved concept of time consistency. This tutorial is aimed at presenting a certain point of view of multistage stochastic programming, and can be viewed … Read more

A Primal-Dual Lifting Scheme for Two-Stage Robust Optimization

Two-stage robust optimization problems, in which decisions are taken both in anticipation of and in response to the observation of an unknown parameter vector from within an uncertainty set, are notoriously challenging. In this paper, we develop convergent hierarchies of primal (conservative) and dual (progressive) bounds for these problems that trade off the competing goals … Read more

Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs

We study stochastic bilevel programs where the leader chooses a binary here-and-now decision and the follower responds with a continuous wait-and-see-decision. Using modern decision rule approximations, we construct lower bounds on an optimistic version and upper bounds on a pessimistic version of the leader’s problem. Both bounding problems are equivalent to explicit mixed-integer linear programs … Read more

Multi-stage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set

In this paper we propose a methodology for constructing decision rules for integer and continuous decision variables in multiperiod robust linear optimization problems. This type of problems finds application in, for example, inventory management, lot sizing, and manpower management. We show that by iteratively splitting the uncertainty set into subsets one can differentiate the later-period … Read more

Adjustable robust optimization with decision rules based on inexact revealed data

Adjustable robust optimization (ARO) is a technique to solve dynamic (multistage) optimization problems. In ARO, the decision in each stage is a function of the information accumulated from the previous periods on the values of the uncertain parameters. This information, however, is often inaccurate; there is much evidence in the information management literature that even … Read more

Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization

In recent years, decision rules have been established as the preferred solution method for addressing computationally demanding, multistage adaptive optimization problems. Despite their success, existing decision rules (a) are typically constrained by their a priori design and (b) do not incorporate in their modeling adaptive binary decisions. To address these problems, we first derive the … Read more