Multistage robust mixed-integer optimization under endogenous uncertainty

Wei Feng, Yiping Feng and Qi Zhang

European Journal of Operational Research, 2021, vol. 294, issue 2, 460-475

Abstract: Endogenous, i.e. decision-dependent, uncertainty has received increased interest in the stochastic programming community. In the robust optimization context, however, it has rarely been considered. This work addresses multistage robust mixed-integer optimization with decision-dependent uncertainty sets. The proposed framework allows us to consider both continuous and integer recourse, including recourse decisions that affect the uncertainty set. We derive a tractable reformulation of the problem by leveraging recent advances in the construction of nonlinear decision rules, and introduce discontinuous piecewise linear decision rules for continuous recourse. Computational experiments are performed to gain insights on the impact of endogenous uncertainty, the benefit of discrete recourse, and computational performance. Our results indicate that the level of conservatism in the solution can be significantly reduced if endogenous uncertainty and mixed-integer recourse are properly modeled.

Keywords: Endogenous uncertainty; Multistage robust optimization; Mixed-integer recourse; Decision rules (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221721000783
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:294:y:2021:i:2:p:460-475

DOI: 10.1016/j.ejor.2021.01.048

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().