Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets

DOI10.1007/s10107-020-01580-4zbMath1506.90176arXiv2002.12518OpenAlexW3094002270MaRDI QIDQ2097674

Siqian Shen, Xian Yu

Publication date: 14 November 2022

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

Full work available at URL: https://arxiv.org/abs/2002.12518

zbMATH Keywords

endogenous uncertaintydistributionally robust optimizationmixed integer semidefinite/linear programmingmultistage sequential decision-makingstochastic dual dynamic integer programming (SDDiP)

Mathematics Subject Classification ID

Semidefinite programming (90C22) Mixed integer programming (90C11) Robustness in mathematical programming (90C17)

Related Items (8)

Distributionally Robust Joint Chance Constrained Vessel Fleet Deployment Problem ⋮ Frameworks and results in distributionally robust optimization ⋮ Effective Scenarios in Multistage Distributionally Robust Optimization with a Focus on Total Variation Distance ⋮ Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Bounds for Multistage Mixed-Integer Distributionally Robust Optimization ⋮ On the multistage shortest path problem under distributional uncertainty ⋮ Special issue: Global solution of integer, stochastic and nonconvex optimization problems

Uses Software

• YALMIP
• ROME
• Robotics

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