Robust Stochastic Optimization Made Easy with RSOME

We present a new distributionally robust optimization model called robust stochastic optimization (RSO), which unifies both scenario-tree-based stochastic linear optimization and distributionally r...

[1]  Alexander Shapiro,et al.  On a Class of Minimax Stochastic Programs , 2004, SIAM J. Optim..

[2]  M. Teboulle,et al.  AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT , 2007 .

[3]  A. Ben-Tal,et al.  Adjustable robust solutions of uncertain linear programs , 2004, Math. Program..

[4]  Jun Jiang,et al.  Robust Vehicle Pre‐Allocation with Uncertain Covariates , 2020 .

[5]  Kjetil H yland.  Generating Scenario Trees for Multistage Decision Problems , 2016 .

[6]  Dimitris Bertsimas,et al.  A Robust Optimization Approach to Inventory Theory , 2006, Oper. Res..

[7]  C. S. Fisher,et al.  LINEAR PROGRAMMING UNDER UNCERTAINTY IN AN L SPACE , 1962 .

[8]  Shabbir Ahmed,et al.  On robust optimization of two-stage systems , 2004, Math. Program..

[9]  Daniel Kuhn,et al.  Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations , 2015, Mathematical Programming.

[10]  Arkadi Nemirovski,et al.  Robust Convex Optimization , 1998, Math. Oper. Res..

[11]  Viet Anh Nguyen,et al.  Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning , 2019, Operations Research & Management Science in the Age of Analytics.

[12]  Jean-Philippe Vial,et al.  Deriving robust counterparts of nonlinear uncertain inequalities , 2012, Math. Program..

[13]  Jean-Philippe Vial,et al.  Robust Optimization , 2021, ICORES.

[14]  Jiuyong Li,et al.  Distributionally Robust Multi-instance Learning with Stable Instances , 2019, ArXiv.

[15]  R. Wets,et al.  Stochastic programming , 1989 .

[16]  Werner Römisch,et al.  Scenario tree modeling for multistage stochastic programs , 2009, Math. Program..

[17]  Alexander Shapiro,et al.  Minimax analysis of stochastic problems , 2002, Optim. Methods Softw..

[18]  Melvyn Sim,et al.  Adaptive Distributionally Robust Optimization , 2019, Manag. Sci..

[19]  Melvyn Sim,et al.  TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION , 2009 .

[20]  Melvyn Sim,et al.  The Price of Robustness , 2004, Oper. Res..

[21]  Dimitris Bertsimas,et al.  Two-stage sample robust optimization , 2019, 1907.07142.

[22]  G. Perakis,et al.  Joint Pricing and Production A Fusion of Machine Learning and Robust Optimization , 2019 .

[23]  Alexander Shapiro,et al.  On Complexity of Stochastic Programming Problems , 2005 .

[24]  Anil K. Jain,et al.  Algorithms for Clustering Data , 1988 .

[25]  Daniel Kuhn,et al.  Distributionally Robust Convex Optimization , 2014, Oper. Res..

[26]  S. Uryasev,et al.  Asset/Liability Management for Pension Funds Using CVaR Constraints , 2001 .

[27]  Reha H. Tütüncü,et al.  Robust Asset Allocation , 2004, Ann. Oper. Res..

[28]  J. MacQueen.  Some methods for classification and analysis of multivariate observations , 1967 .

[29]  Stephen P. Boyd,et al.  Graph Implementations for Nonsmooth Convex Programs , 2008, Recent Advances in Learning and Control.

[30]  Norio Hibiki.  Multi-period stochastic optimization models for dynamic asset allocation , 2006 .

[31]  Anja De Waegenaere,et al.  Robust Solutions of Optimization Problems Affected by Uncertain Probabilities , 2011, Manag. Sci..

[32]  Ioana Popescu,et al.  Robust Mean-Covariance Solutions for Stochastic Optimization , 2007, Oper. Res..

[33]  Melvyn Sim,et al.  Robust Approximation to Multiperiod Inventory Management , 2010, Oper. Res..

[34]  Allen L. Soyster,et al.  Technical Note - Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming , 1973, Oper. Res..

[35]  Arkadi Nemirovski,et al.  Lectures on modern convex optimization - analysis, algorithms, and engineering applications , 2001, MPS-SIAM series on optimization.

[36]  Alexander Shapiro,et al.  The Sample Average Approximation Method for Stochastic Discrete Optimization , 2002, SIAM J. Optim..

[37]  Yinyu Ye,et al.  Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems , 2010, Oper. Res..

[38]  John R. Birge,et al.  Introduction to Stochastic Programming , 1997 .

[39]  I. Gilboa,et al.  Maxmin Expected Utility with Non-Unique Prior , 1989 .

[40]  Georg Ch. Pflug,et al.  Scenario tree generation for multiperiod financial optimization by optimal discretization , 2001, Math. Program..

[41]  Alexander Shapiro,et al.  A simulation-based approach to two-stage stochastic programming with recourse , 1998, Math. Program..

[42]  Daniel Kuhn,et al.  Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls , 2016, Oper. Res..