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On the Optimality of Affine Policies for Budgeted Uncertainty Sets

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Banff International Research Station (BIRS) for Mathematical Innovation and Discovery

Housni, Omar El

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Title

On the Optimality of Affine Policies for Budgeted Uncertainty Sets

Title of Series

Models and Algorithms for Sequential Decision Problems Under Uncertainty (19w5231)

Number of Parts

21

Author

Housni, Omar El

Contributors

License

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.

Identifiers

10.5446/60445 (DOI)

Publisher

Banff International Research Station (BIRS) for Mathematical Innovation and Discovery

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Language

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Subject Area

Computer Science Mathematics

Genre

Workshop/Interactive Format Lecture

Abstract

We study the performance of affine policies for two-stage adjustable robust optimization problem under a budget of uncertainty set. This important class of uncertainty sets provides the flexibility to adjust the level of conservatism in terms of probabilistic bounds on constraint violations.

Series

Models and Algorithms for Sequential Decision Problems Under Uncertainty (19w5231)12 / 21

1

41:17

Robust Markov Decision Processes

2

37:29

Preservation of Supermodularity in Parametric Optimization: Necessary and Sufficient Conditions on Constraint Structures

3

42:11

Multi-objective Maximization of Monotone Submodular Functions with Cardinality Constraint

4

41:39

Worst-case regret minimization in a two-stage linear program

5

47:44

Data-Pooling in Stochastic Optimization

6

39:37

Data-Driven Two-Stage Linear Optimization: Feasibility and Approximation Guarantees

7

40:59

A Data-Driven Approach for Multi-Stage Linear Optimization

8

44:02

Effective Scenarios in Multistage Distributionally Robust Optimization

9

41:19

Online Resource Allocation under Partially Predictable Demand

10

40:54

Resource Allocation Problems in Cloud Computing

11

43:05

Preliminary results on two-stage scenario problems

12

38:25

On the Optimality of Affine Policies for Budgeted Uncertainty Sets

13

40:17

Exploiting Partial Correlations in Distributionally Robust Optimization

14

44:24

Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator

15

41:06

Data-Driven Chance Constrained Programs over Wasserstein Balls

16

37:07

Analyzing Policies in Dynamic Robust Optimization

17

45:29

Online First-Order Framework for Robust Convex Optimization

18

42:26

Inverse Optimization with Imperfect Information

19

39:59

Crowdsourcing Operations: Incentivizing Bike Angels in America

20

38:55

Secondary Market for Demand Uncertainty

21

42:34

Two-Stage Robust Optimization with Decision-Dependent Information Discovery

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