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research article

Generalized Decision Rule Approximations for Stochastic Programming via Liftings

Georghiou, Angelos
•
Wiesemann, Wolfram
•
Kuhn, Daniel  
2015
Mathematical Programming

Stochastic programming provides a versatile framework for decision-making under uncertainty, but the resulting optimization problems can be computationally demanding. It has recently been shown that, primal and dual linear decision rule approximations can yield tractable upper and lower bounds on the optimal value of a stochastic program. Unfortunately, linear decision rules often provide crude approximations that result in loose bounds. To address this problem, we propose a lifting technique that maps a given stochastic program to an equivalent problem on a higher-dimensional probability space. We prove that solving the lifted problem in primal and dual linear decision rules provides tighter bounds than those obtained from applying linear decision rules to the original problem. We also show that there is a one-to-one correspondence between linear decision rules in the lifted problem and families of non-linear decision rules in the original problem. Finally, we identify structured liftings that give rise to highly flexible piecewise linear decision rules and assess their performance in the context of a stylized investment planning problem.

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Type
research article
DOI
10.1007/s10107-014-0789-6
Web of Science ID

WOS:000358292600010

Author(s)
Georghiou, Angelos
Wiesemann, Wolfram
Kuhn, Daniel  
Date Issued

2015

Publisher

Springer Verlag

Published in
Mathematical Programming
Volume

152

Issue

1-2

Start page

301

End page

338

Subjects

Decision Rule Approximations

•

Stochastic Programming

•

Robust Optimization

•

Error Bounds

Note

Available from Optimization Online

URL

URL

http://www.optimization-online.org/DB_HTML/2010/08/2701.html
Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
January 22, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/100111
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