multi-period optimization

Ambiguity Updating Robust Architecture: Towards Time Consistency in Multi-period DRO

Categories Robust Optimization, Stochastic Programming Tags , ,

Multi-period distributionally robust optimization (DRO) is in general not time consistent. For a given multi-period DRO problem with generalized moments ambiguity, we propose an Ambiguity Updating Robust Architecture (AURA) that constructs the ambiguity set of all conditional distributions-to-go, given the realized uncertainty. We prove that AURA is time consistent, but is more conservative than the … Read more

Adjustable Robust Optimization Models for Nonlinear Multi-Period Optimization

Categories Robust Optimization Tags , ,

We study multi-period nonlinear optimization problems whose parameters are uncertain. We assume that uncertain parameters are revealed in stages and model them using the adjustable robust optimization approach. For problems with polytopic uncertainty, we show that quasi-convexity of the optimal value function of certain subproblems is sufficient for the reducibility of the resulting robust optimization … Read more