Generalized decision rule approximations for stochastic programming via liftings

DOI10.1007/S10107-014-0789-6zbMath1327.90152OpenAlexW2000508521WikidataQ95652354 ScholiaQ95652354MaRDI QIDQ494331

Daniel Kuhn, Wolfram Wiesemann, Angelos Georghiou

Publication date: 31 August 2015

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/103397

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (39)

Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming ⋮ Design of Near Optimal Decision Rules in Multistage Adaptive Mixed-Integer Optimization ⋮ Robust optimal control with adjustable uncertainty sets ⋮ ROC++: Robust Optimization in C++ ⋮ K-Adaptability in Two-Stage Robust Binary Programming ⋮ Optimization under Decision-Dependent Uncertainty ⋮ Dynamic optimization with side information ⋮ A polynomial-time solution scheme for quadratic stochastic programs ⋮ On complexity of multistage stochastic programs under heavy tailed distributions ⋮ Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems ⋮ Generating decision rules for flexible capacity expansion problem through gene expression programming ⋮ Decision rule-based method in solving adjustable robust capacity expansion problem ⋮ Optimal chance-constrained pension fund management through dynamic stochastic control ⋮ Affine routing for robust network design ⋮ \(K\)-adaptability in two-stage mixed-integer robust optimization ⋮ A double-oracle, logic-based Benders decomposition approach to solve the \(K\)-adaptability problem ⋮ Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules ⋮ Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs ⋮ Binary decision rules for multistage adaptive mixed-integer optimization ⋮ Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation ⋮ A constraint sampling approach for multi-stage robust optimization ⋮ Robust Dual Dynamic Programming ⋮ A Primal–Dual Lifting Scheme for Two-Stage Robust Optimization ⋮ Multipolar robust optimization ⋮ Robust combinatorial optimization under convex and discrete cost uncertainty ⋮ A survey of adjustable robust optimization ⋮ Constant depth decision rules for multistage optimization under uncertainty ⋮ Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation ⋮ Multistage robust mixed-integer optimization under endogenous uncertainty ⋮ Robust optimization of schedules affected by uncertain events ⋮ Decision rule approximations for the risk averse reservoir management problem ⋮ The decision rule approach to optimization under uncertainty: methodology and applications ⋮ A stochastic program with time series and affine decision rules for the reservoir management problem ⋮ Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization ⋮ Multistage Adaptive Robust Optimization for the Unit Commitment Problem ⋮ Robust Inventory Management: An Optimal Control Approach ⋮ Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls ⋮ Robust Quadratic Programming with Mixed-Integer Uncertainty ⋮ Two-stage linear decision rules for multi-stage stochastic programming

Uses Software

• ROME

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
• Primal and dual linear decision rules in stochastic and robust optimization
• Bounding multi-stage stochastic programs from above
• On the power and limitations of affine policies in two-stage adaptive optimization
• Multi-period portfolio optimization with linear control policies
• Sublinear upper bounds for stochastic programs with recourse
• Barycentric scenario trees in convex multistage stochastic programming
• Adjustable robust solutions of uncertain linear programs
• Generalized bounds for convex multistage stochastic programs.
• Some results on the strength of relaxations of multilinear functions
• Computational complexity of stochastic programming problems
• Lectures on Modern Convex Optimization
• The Robust Capacitated Vehicle Routing Problem Under Demand Uncertainty
• Stochastic Programming Approximations Using Limited Moment Information, with Application to Asset Allocation
• Introduction to Stochastic Programming
• Approximate Dynamic Programming
• Information Relaxations and Duality in Stochastic Dynamic Programs
• Distributionally Robust Optimization and Its Tractable Approximations
• Uncertain Linear Programs: Extended Affinely Adjustable Robust Counterparts
• Optimality of Affine Policies in Multistage Robust Optimization
• Two-Stage Robust Network Flow and Design Under Demand Uncertainty
• A Linear Decision-Based Approximation Approach to Stochastic Programming
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• A piecewise linear upper bound on the network recourse function
• A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
• On decision rules in stochastic programming
• Introduction to Stochastic Programming
• Variational Analysis
• Design of Affine Controllers via Convex Optimization
• A Hierarchy of Near-Optimal Policies for Multistage Adaptive Optimization
• An Efficient Method to Estimate the Suboptimality of Affine Controllers

This page was built for publication: Generalized decision rule approximations for stochastic programming via liftings