Qing Jin – Optimization Online

Distributionally Robust Optimization with Decision-Dependent Information Discovery

Published: 2024/04/02

Robust Optimization binary recourse decisions, decision-dependent information discovery, decomposition algorithm, distributionally robust optimization, endogenous uncertainty, two-stage problems

We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the first stage. This class of problems finds many important applications in selection problems (e.g., in hiring, project portfolio optimization, or optimal sensor location). … Read more

ROC++: Robust Optimization in C++

Published: 2020/06/10, Updated: 2022/08/22

Phebe Vayanos

Qing Jin

George Elissaios

Optimization Software and Modeling Systems, Robust Optimization decision-dependent information discovery, decision-dependent uncertainty, endogenous uncertainty, exogenous uncertainty, robust optimization, sequential decision-making under uncertainty, software tools

Over the last two decades, robust optimization has emerged as a popular means to address decision-making problems affected by uncertainty. This includes single- and multi-stage problems involving real-valued and/or binary decisions, and affected by exogenous (decision-independent) and/or endogenous (decision-dependent) uncertain parameters. Robust optimization techniques rely on duality theory potentially augmented with approximations to transform a … Read more