model ambiguity – Optimization Online

Multi-model Partially Observable Markov Decision Processes

Published: 2023/04/25

Applications - OR and Management Sciences, Biomedical Applications, Stochastic Programming model ambiguity, multi-model partially observable Markov decision processes, prostate cancer active surveillance, stochastic optimization

We propose a new multi-model partially observable Markov decision process (MPOMDP) model to address the issue of model ambiguity in partially observable Markov decision process. Here, model ambiguity is defined as the case where there are multiple credible optimization models with the same structure but different model parameters. The proposed MPOMDP model aims to learn … Read more

Distributionally robust optimization with multiple time scales: valuation of a thermal power plant

Published: 2019/04/09

Dynamic Programming, Stochastic Programming distributionally robust optimization, dynamic programming, model ambiguity, multiscale stochastic optimization, multistage stochastic optimization, nested distance, wasserstein distance

The valuation of a real option is preferably done with the inclusion of uncertainties in the model, since the value depends on future costs and revenues, which are not perfectly known today. The usual value of the option is defined as the maximal expected (discounted) profit one may achieve under optimal management of the operation. … Read more