mixed integer second-order cone program

Robust Concave Utility Maximization over a Chance-Constraint

  • Shanshan Wang
  • Sanjay Mehrotra
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , , , , ,

    This paper, for the first time, studies an expected utility problem with a chance constraint with incomplete information on a decision maker’s utility function. The model maximizes the worst-case expected utility of random outcome over a set of concave functions within a novel ambiguity set while satisfying a chance constraint with a given probability. To … Read more

    A disjunctive convex programming approach to the pollution routing problem

  • Ricardo Fukasawa
  • Qie He
  • Yongjia Song
    • Categories (Mixed) Integer Nonlinear Programming, Branch and Cut Algorithms, Transportation Tags , , ,

    The pollution routing problem (PRP) aims to determine a set of routes and speed over each leg of the routes simultaneously to minimize the total operational and environmental costs. A common approach to solve the PRP exactly is through speed discretization, i.e., assuming that speed over each arc is chosen from a prescribed set of … Read more