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research article

A constraint sampling approach for multi-stage robust optimization

Vayanos, Phebe
•
Kuhn, Daniel  
•
Rustem, Berç
2012
Automatica

We propose a tractable approximation scheme for convex (not necessarily linear) multi-stage robust optimization problems. We approximate the adaptive decisions by finite linear combinations of prescribed basis functions and demonstrate how one can optimize over these decision rules at low computational cost through constraint randomization. We obtain a-priori probabilistic guarantees on the feasibility properties of the optimal decision rule by applying existing constraint sampling techniques to the semi-infinite problem arising from the decision rule approximation. We demonstrate that for a suitable choice of basis functions, the approximation converges as the size of the basis and the number of sampled constraints tend to infinity. The approach yields an algorithm parameterized in the basis size, the probability of constraint violation and the confidence that this probability will not be exceeded. These three parameters serve to tune the trade-off between optimality and feasibility of the decision rules and the computational cost of the algorithm. We assess the convergence and scalability properties of our approach in the context of two inventory management problems.

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Type
research article
DOI
10.1016/j.automatica.2011.12.002
Author(s)
Vayanos, Phebe
Kuhn, Daniel  
Rustem, Berç
Date Issued

2012

Publisher

Elsevier

Published in
Automatica
Volume

48

Issue

3

Start page

459

End page

471

Subjects

Multi-stage robust optimization

•

Decision rules

•

Scenario approximation

•

Violation probability

Editorial or Peer reviewed

NON-REVIEWED

Written at

OTHER

EPFL units
RAO  
Available on Infoscience
January 21, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/100062
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