robust optimization

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

    Robust and Distributionally Robust Optimization Models for Support Vector Machine

  • Daniel Faccini
  • Francesca Maggioni
  • Florian A. Potra
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , , ,

    In this paper we present novel data-driven optimization models for Support Vector Machines (SVM), with the aim of linearly separating two sets of points that have non-disjoint convex closures. Traditional classi cation algorithms assume that the training data points are always known exactly. However, real-life data are often subject to noise. To handle such uncertainty, we … Read more

    A Robust Approach for Modeling Limited Observability in Bilevel Optimization

  • Yasmine Beck
  • Martin Schmidt
    • Categories Finance and Economics, Robust Optimization Tags , , , ,

    In bilevel optimization, hierarchical optimization problems are considered in which two players – the leader and the follower – act and react in a non-cooperative and sequential manner. In many real-world applications, the leader may face a follower whose reaction deviates from the one expected by the leader due to some kind of bounded rationality. … Read more

    Twenty years of continuous multiobjective optimization in the twenty-first century

  • Gabriele Eichfelder
    • Categories Global Optimization, Multi-Criteria Optimization, Nonlinear Optimization Tags , , , ,

    The survey highlights some of the research topics which have attracted attention in the last two decades within the area of mathematical optimization of multiple objective functions. We give insights into topics where a huge progress can be seen within the last years. We give short introductions to the specific sub-fields as well as some … Read more

    Pareto Adaptive Robust Optimality via a Fourier-Motzkin Elimination Lens

  • Dimitris Bertsimas
  • Stefan ten Eikelder
  • Dick den Hertog
  • Nikolaos Trichakis
    • Categories Robust Optimization Tags , , , ,

    We formalize the concept of Pareto Adaptive Robust Optimality (PARO) for linear Adaptive Robust Optimization (ARO) problems. A worst-case optimal solution pair of here-and-now decisions and wait-and-see decisions is PARO if it cannot be Pareto dominated by another solution, i.e., there does not exist another such pair that performs at least as good in all … Read more

    Safely Learning Dynamical Systems from Short Trajectories

  • Amir Ali Ahmadi
  • Abraar Chaudhry
  • Vikas Sindhwani
  • Stephen Tu
    • Categories Control Applications, Linear, Cone and Semidefinite Programming, Robust Optimization Tags , , , ,

    A fundamental challenge in learning to control an unknown dynamical system is to reduce model uncertainty by making measurements while maintaining safety. In this work, we formulate a mathematical definition of what it means to safely learn a dynamical system by sequentially deciding where to initialize the next trajectory. In our framework, the state of … Read more

    A General Framework for Optimal Data-Driven Optimization

  • Daniel Kuhn
  • Tobias Sutter
  • Bart Paul Gerard van Parys
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    We propose a statistically optimal approach to construct data-driven decisions for stochastic optimization problems. Fundamentally, a data-driven decision is simply a function that maps the available training data to a feasible action. It can always be expressed as the minimizer of a surrogate optimization model constructed from the data. The quality of a data-driven decision … Read more

    Robust Convex Optimization: A New Perspective That Unifies And Extends

  • Dimitris Bertsimas
  • Dick den Hertog
  • Jean Pauphilet
  • Jianzhe Zhen
    • Categories Convex Optimization, Robust Optimization Tags , , ,

    Robust convex constraints are difficult to handle, since finding the worst-case scenario is equivalent to maximizing a convex function. In this paper, we propose a new approach to deal with such constraints that unifies approaches known in the literature and extends them in a significant way. The extension is either obtaining better solutions than the … Read more