典型文献
Two-Stage Robust Optimization Under Decision Dependent Uncertainty
文献摘要：
In the conventional robust optimization (RO) context, the uncertainty is regarded as residing in a predeter-mined 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.
文献关键词：
中图分类号：
作者姓名：
Yunfan Zhang;Feng Liu;Yifan Su;Yue Chen;Zhaojian Wang;Jo?o P.S.Catal?o
作者机构：
State Key Laboratory of Power System and Generation Equipment,the Department of Electrical Engineering,Tsinghua University,Beijing 100084,China;Department of Mechanical and Automation Engineering,the Chinese University of Hong Kong,Hong Kong SAR,China;Ministry of Education Key Laboratory of System Control and Information Processing,the Department of Automation,Shanghai Jiao Tong University;Shanghai Engineering Research Center of Intelligent Control and Management,Shanghai 200240,China;Faculty of Engineering of the University of Porto and Institute for Systems and Computer Engineering,Technology and Science(INESC TEC),Porto 4200-465,Portugal
文献出处：
引用格式：
[1]Yunfan Zhang;Feng Liu;Yifan Su;Yue Chen;Zhaojian Wang;Jo?o P.S.Catal?o-.Two-Stage Robust Optimization Under Decision Dependent Uncertainty)[J].自动化学报（英文版）,2022(07):1295-1306
A类：
predeter,tractability
B类：
Two,Stage,Robust,Optimization,Under,Decision,Dependent,Uncertainty,In,conventional,robust,optimization,RO,context,uncertainty,regarded,residing,mined,fixed,many,applications,however,uncertainties,are,affected,by,decisions,making,current,framework,inapplicable,This,paper,investigates,class,two,stage,problems,that,involve,dependent,We,introduce,polyhedral,sets,whose,right,hand,side,vector,has,dependency,now,seek,derive,exact,wait,second,novel,iterative,algorithm,Benders,dual,decomposition,proposed,where,advanced,optimality,cuts,feasibility,designed,incorporate,coupling,computational,convergence,performance,guaranteed,theoretical,proof,Four,motivating,examples,feature,provided,Finally,solution,methodology,verified,conducting,case,studies,disaster,highway,investment
AB值：
0.632389
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