Two-Stage Robust Optimization Under Decision Dependent Uncertainty
文献类型：期刊论文
| 作者 | Yunfan Zhang; Feng Liu ; Yifan Su; Yue Chen; Zhaojian Wang; João P. S. Catalão
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| 刊名 | IEEE/CAA Journal of Automatica Sinica
 |
| 出版日期 | 2022 |
| 卷号 | 9期号:7页码:1295-1306 |
| ISSN号 | 2329-9266 |
| 关键词 | Benders decomposition decision-dependent uncertainty endogenous uncertainty robust optimization (RO) |
| DOI | 10.1109/JAS.2022.105512 |
| 英文摘要 | In the conventional robust optimization (RO) context, the uncertainty is regarded as residing in a predetermined and fixed uncertainty set. In many applications, however, uncertainties are affected by decisions, making the current RO framework inapplicable. This paper investigates a class of two-stage RO problems that involve decision-dependent uncertainties. We introduce a class of polyhedral uncertainty sets whose right-hand-side vector has a dependency on the here-and-now decisions and seek to derive the exact optimal wait-and-see decisions for the second-stage problem. A novel iterative algorithm based on the Benders dual decomposition is proposed where advanced optimality cuts and feasibility cuts are designed to incorporate the uncertainty-decision coupling. The computational tractability, robust feasibility and optimality, and convergence performance of the proposed algorithm are guaranteed with theoretical proof. Four motivating application examples that feature the decision-dependent uncertainties are provided. Finally, the proposed solution methodology is verified by conducting case studies on the pre-disaster highway investment problem. |
| 源URL | [http://ir.ia.ac.cn/handle/173211/48905]  |
| 专题 | 自动化研究所_学术期刊_IEEE/CAA Journal of Automatica Sinica |
| 推荐引用方式 GB/T 7714 | Yunfan Zhang,Feng Liu,Yifan Su,et al. Two-Stage Robust Optimization Under Decision Dependent Uncertainty[J]. IEEE/CAA Journal of Automatica Sinica,2022,9(7):1295-1306. |
| APA | Yunfan Zhang,Feng Liu,Yifan Su,Yue Chen,Zhaojian Wang,&João P. S. Catalão.(2022).Two-Stage Robust Optimization Under Decision Dependent Uncertainty.IEEE/CAA Journal of Automatica Sinica,9(7),1295-1306. |
| MLA | Yunfan Zhang,et al."Two-Stage Robust Optimization Under Decision Dependent Uncertainty".IEEE/CAA Journal of Automatica Sinica 9.7(2022):1295-1306. |
入库方式： OAI收割
来源：自动化研究所
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