multi-stage

A Fully Adaptive DRO Multistage Framework Based on MDR for Generation Scheduling under Uncertainty

  • Yingyang
  • Linfeng Yang
  • Zhaoyang Dong
    • Categories Applications - OR and Management Sciences Tags , , , , ,

    The growing proliferation of wind power into the power grid achieves a low-cost sustainable electricity supply while introducing technical challenges with associated intermittency. This paper proposes a fully adaptive distributionally robust multistage framework based on mixed decision rules (MDR) for generation scheduling under uncertainty to adapt wind power respecting non-anticipativity in quick-start unit status decision … Read more

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

  • Dick den Hertog
  • Krzysztof Postek
    • Categories (Mixed) Integer Linear Programming, Robust Optimization Tags , , , ,

    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

    A scalable bounding method for multi-stage stochastic integer programs

  • Osman Y. Ozaltin
  • Burhaneddin Sandikçi
    • Categories Integer Programming, Parallel Algorithms, Stochastic Programming Tags , , , ,

    Many dynamic decision problems involving uncertainty can be appropriately modeled as multi-stage stochastic programs. However, most practical instances are so large and/or complex that it is impossible to solve them on a single computer, especially due to memory limitations. Extending the work of Sandikci et al. (2013) on two-stage stochastic mixed-integer-programs (SMIPs), this paper develops … Read more