Primal and dual linear decision rules in stochastic and robust optimization
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Publication:647394
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Cited in
(83)- Robust inventory theory with perishable products
- Dynamic portfolio choice: a simulation-and-regression approach
- Ambiguous joint chance constraints under mean and dispersion information
- A Linear Decision-Based Approximation Approach to Stochastic Programming
- Bound-based decision rules in multistage stochastic programming
- Pareto adaptive robust optimality via a Fourier-Motzkin elimination lens
- A general model and efficient algorithms for reliable facility location problem under uncertain disruptions
- Risk-averse two-stage stochastic program with distributional ambiguity
- A distributionally robust optimization approach for two-stage facility location problems
- Decision-dependent probabilities in stochastic programs with recourse
- A perfect information lower bound for robust lot-sizing problems
- Multistage adaptive robust optimization for the hydrothermal scheduling problem
- A successive linear programming algorithm with non-linear time series for the reservoir management problem
- A sample robust optimal bidding model for a virtual power plant
- Target-oriented robust satisficing models for the single machine scheduling problems with release time
- A survey of adjustable robust optimization
- Adjustable robust optimization via Fourier-Motzkin elimination
- Generalized Farkas lemma with adjustable variables and two-stage robust linear programs
- Mitigating the COVID‐19 pandemic through data‐driven resource sharing
- Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
- International portfolio management with affine policies
- Lagrangian dual decision rules for multistage stochastic mixed-integer programming
- Multipolar robust optimization
- \(K\)-adaptability in two-stage mixed-integer robust optimization
- Duality in two-stage adaptive linear optimization: faster computation and stronger bounds
- \(K\)-adaptability in two-stage robust binary programming
- Decision rule-based method in solving adjustable robust capacity expansion problem
- Stochastic decomposition applied to large-scale hydro valleys management
- On the performance of affine policies for two-stage adaptive optimization: a geometric perspective
- Conditions under which adjustability lowers the cost of a robust linear program
- Joint dynamic probabilistic constraints with projected linear decision rules
- Generalized decision rule approximations for stochastic programming via liftings
- Oracle-based algorithms for binary two-stage robust optimization
- On the safe side of stochastic programming: bounds and approximations
- A constraint sampling approach for multi-stage robust optimization
- Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
- Piecewise static policies for two-stage adjustable robust linear optimization
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
- Hybrid strategies using linear and piecewise-linear decision rules for multistage adaptive linear optimization
- Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set
- Distributionally robust joint chance constraints with second-order moment information
- Differentiability conditions for stochastic hybrid systems with application to the optimal design of microgrids
- Distributionally robust optimization and its tractable approximations
- Decision support for strategic energy planning: a robust optimization framework
- Recent advances in robust optimization: an overview
- Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
- 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
- Epiconvergence of relaxed stochastic optimization problems
- Adjustable robust optimization reformulations of two-stage worst-case regret minimization problems
- Multistage adaptive robust optimization for the unit commitment problem
- Designing tractable piecewise affine policies for multi-stage adjustable robust optimization
- ROC++: Robust Optimization in C++
- Decomposition-Based Approaches for a Class of Two-Stage Robust Binary Optimization Problems
- The impact of the existence of multiple adjustable robust solutions
- Design of near optimal decision rules in multistage adaptive mixed-integer optimization
- Two-stage linear decision rules for multi-stage stochastic programming
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- Lagrangian Duality for Robust Problems with Decomposable Functions: The Case of a Robust Inventory Problem
- Multistage robust mixed-integer optimization under endogenous uncertainty
- Energy and reserve dispatch with distributionally robust joint chance constraints
- Sequential convex programming for non-linear stochastic optimal control
- Affine routing for robust network design
- On ambiguity-averse market equilibrium
- A primal-dual lifting scheme for two-stage robust optimization
- Stochastic optimization in supply chain networks: averaging robust solutions
- Optimal chance-constrained pension fund management through dynamic stochastic control
- On the power and limitations of affine policies in two-stage adaptive optimization
- Robust optimization of schedules affected by uncertain events
- Data-driven decisions for problems with an unspecified objective function
- Decision bounding problems for two-stage distributionally robust stochastic bilevel optimization
- A polynomial-time solution scheme for quadratic stochastic programs
- Robust international portfolio management
- Robust Dual Dynamic Programming
- Mathematical programming methods for microgrid design and operations: a survey on deterministic and stochastic approaches
- Binary decision rules for multistage adaptive mixed-integer optimization
- Decomposition of convex high dimensional aggregative stochastic control problems
- The decision rule approach to optimization under uncertainty: methodology and applications
- Robust combinatorial optimization under convex and discrete cost uncertainty
- Inexact cuts in stochastic dual dynamic programming applied to multistage stochastic nondifferentiable problems
- Frameworks and results in distributionally robust optimization
- Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation
- Decision rule bounds for two-stage stochastic bilevel programs
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