robust optimization

Exact and Approximate Schemes for Robust Optimization Problems with Decision Dependent Information Discovery

  • Said Dabia
  • Angelos Georghiou
  • Rosario Paradiso
  • Denise Tönissen
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , , , ,

    Uncertain optimization problems with decision dependent information discovery allow the decision maker to control the timing of information discovery, in contrast to the classic multistage setting where uncertain parameters are revealed sequentially based on a prescribed filtration. This problem class is useful in a wide range of applications, however, its assimilation is partly limited by … Read more

    Robust Epidemiological Prediction and Optimization

  • Chenyi Fu
  • Melvyn Sim
  • Minglong Zhou
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , ,

    The COVID-19 pandemic has brought many countries to their knees, and the urgency to return to normalcy has never been greater. Epidemiological models, such as the SEIR compartmental model, are indispensable tools for, among other things, predicting how pandemic may spread over time and how vaccinations and different public health interventions could affect the outcome. … Read more

    New complexity results and algorithms for min-max-min robust combinatorial optimization

  • Jannis Kurtz
    • Categories Combinatorial Optimization, Convex and Nonsmooth Optimization, Robust Optimization Tags , , ,

    In this work we investigate the min-max-min robust optimization problem applied to combinatorial problems with uncertain cost-vectors which are contained in a convex uncertainty set. The idea of the approach is to calculate a set of k feasible solutions which are worst-case optimal if in each possible scenario the best of the k solutions would … Read more

    Robust Vehicle Routing under Uncertainty via Branch-Price-and-Cut

  • Chrysanthos E. Gounaris
  • Anirudh Subramanyam
  • Akang Wang
    • Categories Production and Logistics, Robust Optimization, Transportation Tags , , , , , ,

    This paper contemplates how branch-price-and-cut solvers can be employed along with the robust optimization paradigm to address parametric uncertainty in the context of vehicle routing problems. In this setting, given postulated uncertainty sets for customer demands and vehicle travel times, one aims to identify a set of cost-effective routes for vehicles to traverse, such that … Read more

    Robust Portfolio Selection Problems: A Comprehensive Review

  • Alireza Ghahtarani
  • Ahmed Saif
  • Alireza Ghasemi
    • Categories Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Tags ,

    In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. … Read more

    Robust Price Optimization of Multiple Products under Interval Uncertainties

  • Mahdi Hamzeei
  • Alvin Lim
  • Jiefeng Xu
    • Categories Constrained Nonlinear Optimization, Robust Optimization, Yield Management Tags , ,

    In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall revenue of the firm where the decision variables are the prices of the products supplied by the firm. We propose … Read more

    Robust Planning of Sorting Operations in Express Delivery Systems

  • Reem Khir
  • Alan L. Erera
  • Alejandro Toriello
    • Categories Production and Logistics Tags , , ,

    Parcel logistics services play a vital and growing role in economies worldwide, with customers demanding faster delivery of nearly everything to their homes. To move larger volumes more cost effectively, express carriers use sort technologies to consolidate parcels that share similar geographic and service characteristics for reduced per-unit handling and transportation costs. This paper focuses … Read more

    A nonparametric algorithm for optimal stopping based on robust optimization

  • Bradley Sturt
    • Categories Finance and Economics, Robust Optimization, Stochastic Programming Tags , , ,

    Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally- demanding stochastic optimal stopping problems with known probability distributions. The approach uses simulation to construct a robust optimization problem that approximates the stochastic optimal stopping problem to any … Read more

    Robust Optimization in Nanoparticle Technology: A Proof of Principle by Quantum Dot Growth in a Residence Time Reactor

  • Kevin-Martin Aigner
  • Frauke Liers
  • Jana Dienstbier
  • Wolfgang Peukert
  • Lukas Pflug
  • Jan Hendrik Rolfes
  • Doris Segets
    • Categories Chemical Engineering, Robust Optimization Tags , , ,

    Knowledge-based determination of the best-possible experimental setups for nanoparticle design is highly challenging. Additionally, such processes are accompanied by noticeable uncertainties. Therefore, protection against these uncertainties is needed. Robust optimization helps determining such best possible processes. The latter guarantees quality requirements regardless of how the uncertainties, e.g. with regard to variations in raw materials, heat … Read more

    An adaptive robust optimization model for parallel machine scheduling

  • Izack Cohen
  • Krzysztof Postek
  • Shimrit Shtern
    • Categories Robust Optimization, Scheduling Tags , ,

    Real-life parallel machine scheduling problems can be characterized by: (i) limited information about the exact task duration at scheduling time, and (ii) an opportunity to reschedule the remaining tasks each time a task processing is completed and a machine becomes idle. Robust optimization is the natural methodology to cope with the first characteristic of duration … Read more