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Exploiting Partial Correlations in Distributionally Robust Optimization

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Exploiting Partial Correlations in Distributionally Robust Optimization
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21
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CC Attribution - NonCommercial - NoDerivatives 4.0 International:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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In this work, we identify partial correlation information structures that allow for simpler reformulations in evaluating the maximum expected value of mixed integer linear programs with random objective coefficients. To this end, assuming only the knowledge of the mean and the covariance matrix entries restricted to block-diagonal patterns, we develop a reduced semidefinite programming formulation. In some cases, this lends itself to efficient representations that result in polynomial-time solvable instances, most notably for the distributionally robust appointment scheduling problem with random job durations as well as for computing tight bounds in PERT networks and linear assignment problems. To the best of our knowledge, this is the first example of a distributionally robust optimization formulation for appointment scheduling that permits a tight polynomial-time solvable semidefinite programming reformulation which explicitly captures partially known correlation information between uncertain processing times of the jobs to be scheduled.