�㽶��Ƶ News - Angelos Georghiou

The Decision Rule Approach to Optimization under Uncertainty: Methodology and Applications

webfull — Thu, 15 Nov 2018 15:54:29 +0000

Authors: Angelos Georghiou, Daniel Kuhn, Wolfram Wiesemann

Publication: Computational Management Science, Forthcoming

Abstract:

Published: 15 November 2018

Robust Dual Dynamic Programming

webfull — Thu, 15 Nov 2018 15:52:26 +0000

Authors: Angelos Georghiou, Angelos Tsoukalas, Wolfram Wiesemann

Publication: Operations Research, Forthcoming

Abstract:

Multi-stage robust optimization problems, where the decision maker can dynamically react to consecutively observed realizations of the uncertain problem parameters, pose formidable theoretical and computational challenges. As a result, the existing solution approaches for this problem class typically determine suboptimal solutions under restrictive assumptions. In this paper, we propose a robust dual dynamic programming (RDDP) scheme for multi-stage robust optimization problems. The RDDP scheme takes advantage of the decomposable nature of these problems by bounding the costs arising in the future stages through lower and upper cost to-go functions. For problems with uncertain technology matrices and/or constraint right-hand sides, our RDDP scheme determines an optimal solution in finite time. If also the objective function and/or the recourse matrices are uncertain, our method converges asymptotically (but deterministically) to an optimal solution. Our RDDP scheme does not require a relatively complete recourse, and it offers deterministic upper and lower bounds throughout the execution of the algorithm. We demonstrate the promising performance of our algorithm in a stylized inventory management problem.

Published: 15 November 2018

Binary decision rules for multistage adaptive mixed-integer optimization

webfull — Fri, 31 Mar 2017 16:14:42 +0000

Authors: Dimitris Bertsimas and Angelos Georghiou

Publication: Mathematical Programming, Vol. 167, No. 2, 2018, pp. 395-433

Abstract:

Published: 31 March 2017

Robust optimal control with adjustable uncertainty sets

webfull — Fri, 18 Nov 2016 21:41:50 +0000

Authors: Xiaojing Zhanga, X., Kamgarpoura, M., Georghiou, A., and Lygeros, J.

Publication: Automatica

Abstract:

Published: 18 November 2016