Optimization under Decision-Dependent Uncertainty

DOI10.1137/17M1110560zbMath1401.90117arXiv1611.07992OpenAlexW2963127561MaRDI QIDQ4571878

Kartikey Sharma, Omid Nohadani

Publication date: 3 July 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07992

zbMATH Keywords

robust optimizationendogenous uncertaintydecision-dependent uncertainty

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (26)

A survey of nonlinear robust optimization ⋮ Robust approximation of chance constrained DC optimal power flow under decision-dependent uncertainty ⋮ ROC++: Robust Optimization in C++ ⋮ On Nash-Stackelberg-Nash games under decision-dependent uncertainties: model and equilibrium ⋮ Uncertainty Preferences in Robust Mixed-Integer Linear Optimization with Endogenous Uncertainty ⋮ Robust combinatorial optimization with knapsack uncertainty ⋮ Partially observable multistage stochastic programming ⋮ Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics ⋮ Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning ⋮ Adjustable robust optimization through multi-parametric programming ⋮ Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management ⋮ A distributionally ambiguous two-stage stochastic approach for investment in renewable generation ⋮ Robust Optimization with Continuous Decision-Dependent Uncertainty with applications to demand response management ⋮ Existence of Solutions for Deterministic Bilevel Games under a General Bayesian Approach ⋮ A survey on bilevel optimization under uncertainty ⋮ A robust model for the lot-sizing problem with uncertain demands ⋮ A Decomposition Algorithm for Two-Stage Stochastic Programs with Nonconvex Recourse Functions ⋮ Bayesian Stochastic Gradient Descent for Stochastic Optimization with Streaming Input Data ⋮ Distributionally robust optimization with decision dependent ambiguity sets ⋮ Robust combinatorial optimization under convex and discrete cost uncertainty ⋮ Multistage robust mixed-integer optimization under endogenous uncertainty ⋮ A novel stochastic programming approach for scheduling of batch processes with decision dependent time of uncertainty realization ⋮ Decision-dependent probabilities in stochastic programs with recourse ⋮ Distributionally robust facility location problem under decision-dependent stochastic demand ⋮ Designing networks with resiliency to edge failures using two-stage robust optimization ⋮ Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets

Cites Work

• Unnamed Item
• A note on two problems in connexion with graphs
• Robust combinatorial optimization with variable cost uncertainty
• Global optimization of bilinear programs with a multiparametric disaggregation technique
• Generalized decision rule approximations for stochastic programming via liftings
• Robust optimization of schedules affected by uncertain events
• The computational complexity of the relative robust shortest path problem with interval data
• A class of stochastic programs with decision dependent random elements
• Robust solutions of uncertain linear programs
• On the robust shortest path problem.
• Robust discrete optimization and network flows
• Adjustable robust solutions of uncertain linear programs
• Interval data minmax regret network optimization problems
• Robust combinatorial optimization with variable budgeted uncertainty
• Robust optimal control with adjustable uncertainty sets
• A class of stochastic programs with decision dependent uncertainty
• The robust shortest path problem with interval data via Benders decomposition
• Deriving robust counterparts of nonlinear uncertain inequalities
• Stochastic Network Interdiction
• Multistage Adaptive Robust Optimization for the Unit Commitment Problem
• Robust Software Partitioning with Multiple Instantiation
• Robust Optimization for Unconstrained Simulation-Based Problems
• Theory and Applications of Robust Optimization
• K-Adaptability in Two-Stage Robust Binary Programming
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• The Price of Robustness
• Lectures on Stochastic Programming
• Finite Adaptability in Multistage Linear Optimization
• The complexity of theorem-proving procedures
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming

This page was built for publication: Optimization under Decision-Dependent Uncertainty