uncertainty sets

Distributionally robust chance constrained geometric optimization

  • Jia Liu
  • Abdel Lisser
  • Zhiping Chen
    • Categories Convex Optimization, Robust Optimization, Stochastic Programming Tags , , ,

    This paper discusses distributionally robust geometric programs with individual and joint chance constraints. Seven groups of uncertainty sets are considered: uncertainty sets with first two order moments information, uncertainty sets constrained by the Kullback-Leibler divergence distance with a normal reference distribution or a discrete reference distribution, uncertainty sets with known first moments or known first … Read more

    Radius of Robust Feasibility for Mixed-Integer Problems

  • Frauke Liers
  • Lars Schewe
  • Johannes Thürauf
    • Categories (Mixed) Integer Linear Programming, Robust Optimization Tags , , ,

    For a mixed-integer linear problem (MIP) with uncertain constraints, the radius of robust feasibility (RRF) determines a value for the maximal “size” of the uncertainty set such that robust feasibility of the MIP can be guaranteed. To the best of our knowledge, the approaches for the RRF presented in the literature are restricted to continuous … Read more

    Adaptive Robust Optimization with Dynamic Uncertainty Sets for Multi-Period Economic Dispatch under Significant Wind

  • Alvaro Lorca
  • Xu Andy Sun
    • Categories Applications - OR and Management Sciences, Robust Optimization Tags , , ,

    The exceptional benefits of wind power as an environmentally responsible renewable energy resource have led to an increasing penetration of wind energy in today’s power systems. This trend has started to reshape the paradigms of power system operations, as dealing with uncertainty caused by the highly intermittent and uncertain wind power becomes a significant issue. … Read more

    Exploring the Modeling Capacity of Two-stage Robust Optimization — Two Variants of Robust Unit Commitment Model

  • Yu An
  • Bo Zeng
    • Categories Applications - Science and Engineering, Robust Optimization Tags , ,

    To handle significant variability in loads, renewable energy generation, as well as various contingencies, two-stage robust optimization method has been adopted to construct unit commitment models and to ensure reliable solutions. In this paper, we further explore and extend the modeling capacity of two-stage robust optimization and present two new robust unit commitment variants, the … Read more

    First order dependence on uncertainty sets in robust optimization

  • C.H. Jeffrey Pang
    • Categories Nonsmooth Optimization, Robust Optimization Tags , , ,

    We show that a first order problem can approximate solutions of a robust optimization problem when the uncertainty set is scaled, and explore further properties of this first order problem. Article Download View First order dependence on uncertainty sets in robust optimization