A mixed-integer approximation of robust optimization problems with mixed-integer adjustments

DOI10.1007/S11081-023-09843-7MaRDI QIDQ6427814zbMATH OpenFDO

Authors Jan Kronqvist, Boda Li, Jan Rolfes

Publication date 27 February 2023

Full work available at URL https://doi.org/10.1007/S11081-023-09843-7

Mathematics Subject Classification ID

Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10) Mixed integer programming (90C11) Robustness in mathematical programming (90C17)

Abstract: In the present article we propose a mixed-integer approximation of adjustable-robust optimization (ARO) problems, that have both, continuous and discrete variables on the lowest level. As these tri-level problems are notoriously hard to solve, we restrict ourselves to weakly-connected instances. Our approach allows us to approximate, and in some cases exactly represent, the tri-level problem as a single-level mixed-integer problem. This allows us to leverage the computational efficiency of state-of-the-art mixed-integer programming solvers. We demonstrate the value of this approach by applying it to the optimization of power systems, particularly to the control of smart converters.

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