Decomposition methods for Wasserstein-based data-driven distributionally robust problems

DOI10.1016/J.ORL.2021.07.007MaRDI QIDQ2060355zbMATH OpenOpenAlexFDO

Authors Carlos Andrés Gamboa, Alexandre Street, Davi Michel Valladão, Tito Homem-De-Mello

Publication date 13 December 2021

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2021.07.007

zbMATH Keywords

decomposition methodsdistributionally robust optimizationtwo-stage stochastic programming

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition
• A Representation and Economic Interpretation of a Two-Level Programming Problem
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Data-driven risk-averse stochastic optimization with Wasserstein metric
• Decomposition Algorithms for Two-Stage Distributionally Robust Mixed Binary Programs
• Distributionally Robust Stochastic Dual Dynamic Programming
• JuMP: a modeling language for mathematical optimization
• Multiarea stochastic unit commitment for high wind penetration in a transmission constrained network
• Solving two-stage robust optimization problems using a column-and-constraint generation method

Cited in

(9)

• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
• Wasserstein Distributionally Robust Stochastic Control: A Data-Driven Approach
• Distributionally Robust Two-Stage Stochastic Programming
• Stochastic decomposition method for two-stage distributionally robust linear optimization
• Solving multistage stochastic linear programming via regularized linear decision rules: an application to hydrothermal dispatch planning
• A data-driven optimization approach for the integrated train scheduling and maintenance planning in high-speed railways
• Two-stage distributionally robust optimization with a finite support
• Two-stage distributionally robust conic linear programming over 1-Wasserstein balls

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