Multistage robust mixed-integer optimization under endogenous uncertainty
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Publication:2239983
Abstract: Endogenous, i.e. decision-dependent, uncertainty has received increased interest in the stochastic programming community. In the robust optimization context, however, it has rarely been considered. This work addresses multistage robust mixed-integer optimization with decision-dependent uncertainty sets. The proposed framework allows us to consider both continuous and integer recourse, including recourse decisions that affect the uncertainty set. We derive a tractable reformulation of the problem by leveraging recent advances in the construction of nonlinear decision rules, and introduce discontinuous piecewise linear decision rules for continuous recourse. Computational experiments are performed to gain insights on the impact of endogenous uncertainty, the benefit of discrete recourse, and computational performance. Our results indicate that the level of conservatism in the solution can be significantly reduced if endogenous uncertainty and mixed-integer recourse are properly modeled.
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Cited in
(8)- A class of efficiently solvable multistage optimization problems under uncertainty and applications
- Multistage robust mixed-integer optimization with adaptive partitions
- A robust posterior preference multi-response optimization approach in multistage processes
- Robust multistage optimization with decision-dependent uncertainty
- Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning
- Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets
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- Uncertainty Preferences in Robust Mixed-Integer Linear Optimization with Endogenous Uncertainty
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