Robust optimization for decision-making under endogenous uncertainty

Computers and Chemical Engineering - Tập 111 - Trang 252-266 - 2018
Nikolaos H. Lappas1, Chrysanthos E. Gounaris1
1Department of Chemical Engineering, Carnegie Mellon University, Pittsburgh, PA 15213, USA

Tài liệu tham khảo

Acevedo, 1997, A multiparametric programming approach for linear process engineering problems under uncertainty, Ind. Eng. Chem. Res., 36, 717, 10.1021/ie960451l Apap, 2017, Models and computational strategies for multistage stochastic programming under endogenous and exogenous uncertainties, Comput. Chem. Eng., 103, 233, 10.1016/j.compchemeng.2016.11.011 Ben-Tal, 2015, Deriving robust counterparts of nonlinear uncertain inequalities, Math. Program., 149, 265, 10.1007/s10107-014-0750-8 Ben-Tal, 2009 Ben-Tal, 2004, Adjustable robust solutions of uncertain linear programs, Math. Program., 99, 351, 10.1007/s10107-003-0454-y Ben-Tal, 1999, Robust solutions of uncertain linear programs, Oper. Res. Lett., 25, 1, 10.1016/S0167-6377(99)00016-4 Ben-Tal, 2001 Bertsimas, 2011, Theory and applications of robust optimization, SIAM Rev., 53, 464, 10.1137/080734510 Bertsimas, 2016, Reformulation versus cutting-planes for robust optimization, Comput. Manag. Sci., 13, 195, 10.1007/s10287-015-0236-z Bertsimas, 2004, The price of robustness, Oper. Res., 52, 35, 10.1287/opre.1030.0065 Birge, 2011 Boland, 2008, A multistage stochastic programming approach to open pit mine production scheduling with uncertain geology, Optimization Online Colvin, 2008, A stochastic programming approach for clinical trial planning in new drug development, Comput. Chem. Eng, 32, 2626, 10.1016/j.compchemeng.2007.11.010 Goel, 2004, A stochastic programming approach to planning of offshore gas field developments under uncertainty in reserves, Comput. Chem. Eng., 28, 1409, 10.1016/j.compchemeng.2003.10.005 Goel, 2006, A class of stochastic programs with decision dependent uncertainty, Math. Program., 108, 355, 10.1007/s10107-006-0715-7 Gorissen, 2015, A practical guide to robust optimization, Omega, 53, 124, 10.1016/j.omega.2014.12.006 Gounaris, 2013, The robust capacitated vehicle routing problem under demand uncertainty, Oper. Res., 61, 677, 10.1287/opre.1120.1136 Gupta, 2014, A new decomposition algorithm for multistage stochastic programs with endogenous uncertainties, Comput. Chem. Eng., 62, 62, 10.1016/j.compchemeng.2013.11.011 Gurobi Optimization, Inc., 2017. Gurobi Optimizer Reference Manual. Guzman, 2017, New a priori and a posteriori probabilistic bounds for robust counterpart optimization: II. A priori bounds for known symmetric and asymmetric probability distributions, Comput. Chem. Eng., 101, 297, 10.1016/j.compchemeng.2016.07.002 ILOG Inc., 2017, ILOG CPLEX 12.6, User Manual Maher, 2017, The SCIP optimization suite 4.0 Jonsbråten, 1998, A class of stochastic programs with decision dependent random elements, Ann. Oper. Res., 82, 83, 10.1023/A:1018943626786 Kelley, 1960, The cutting-plane method for solving convex programs, J. Society for Ind. Appl. Math., 8, 703, 10.1137/0108053 Kouvelis, 2013, 14 Lappas, 2016, Multi-stage adjustable robust optimization for process scheduling under uncertainty, AIChE J., 62, 1646, 10.1002/aic.15183 Lappas, 2017, The use of decision-dependent uncertainty sets in robust optimization, Proceedings of Foundations of Computer-Aided Process Operations / Chemical Process Control 2017 Li, 2012, A comparative theoretical and computational study on robust counterpart optimization: II. Probabilistic guarantees on constraint satisfaction, Ind. Eng. Chem. Res., 51, 6769, 10.1021/ie201651s Marti, 2012, 532 Mutapcic, 2009, Cutting-set methods for robust convex optimization with pessimizing oracles, Optim. Methods Softw., 24, 381, 10.1080/10556780802712889 Nohadani, O., Sharma, K., 2016. Optimization under decision-dependent uncertainty arXiv:1611.07992. Peeta, 2010, Pre-disaster investment decisions for strengthening a highway network, Comput. Oper. Res., 37, 1708, 10.1016/j.cor.2009.12.006 Poss, 2014, Robust combinatorial optimization with variable cost uncertainty, Eur. J. Oper. Res., 237, 836, 10.1016/j.ejor.2014.02.060 Shapiro, 2009 Soyster, 1973, Technical noteconvex programming with set-inclusive constraints and applications to inexact linear programming, Oper. Res., 21, 1154, 10.1287/opre.21.5.1154 Tarhan, 2013, Computational strategies for non-convex multistage MINLP models with decision-dependent uncertainty and gradual uncertainty resolution, Ann. Oper. Res., 203, 141, 10.1007/s10479-011-0855-x Vayanos, 2011, Decision rules for information discovery in multi-stage stochastic programming, 7368