Two-Stage Robust Optimization Under Decision Dependent Uncertainty

doi:10.1109/JAS.2022.105512

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	Two-Stage Robust Optimization Under Decision Dependent Uncertainty
	Yunfan Zhang; Feng Liu; Yifan Su; Yue Chen; Zhaojian Wang; João P. S. Catalão
发表期刊	IEEE/CAA Journal of Automatica Sinica
ISSN	2329-9266
	2022
卷号	9 期号:7 页码:1295-1306
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.
关键词	Benders decomposition decision-dependent uncertainty endogenous uncertainty robust optimization (RO)
DOI	10.1109/JAS.2022.105512
引用统计	被引频次：8[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.ia.ac.cn/handle/173211/48905
专题	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.

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