Journal ArticleDOI
Solving two-stage robust optimization problems using a column-and-constraint generation method
TLDR
A computational study on a two-stage robust location-transportation problem shows that the column-and-constraint generation algorithm performs an order of magnitude faster than existing Benders-style cutting plane methods.About:
This article is published in Operations Research Letters.The article was published on 2013-09-01. It has received 1010 citations till now. The article focuses on the topics: Robust optimization & Cutting-plane method.read more
Citations
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Modeling Transmission Line Constraints in Two-Stage Robust Unit Commitment Problem
TL;DR: In this paper, the authors proposed novel acceleration techniques for solving two-stage robust unit commitment problem with consideration of full transmission line constraints, which greatly reduced the total solution time of the two-staged unit commitment.
Journal ArticleDOI
Transmission Constrained UC With Wind Power: An All-Scenario-Feasible MILP Formulation With Strong Nonanticipativity
TL;DR: In this article, a single-level formulation of transmission constrained unit commitment (TCUC) is proposed to deal with the difficulties caused by uncertainty of renewable energy sources in solving TCUC.
Journal ArticleDOI
Robust scheduling of building energy system under uncertainty
TL;DR: In this article, a robust scheduling strategy is proposed to manage a building energy system with solar power generation system, multi-chiller system and ice thermal energy storage under prediction uncertainty, where a parameter is introduced to adjust the level of conservatism of the robust solution against the modeled uncertainty.
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Adaptive Robust Network-Constrained AC Unit Commitment
TL;DR: In this article, an adaptive robust network-constrained AC unit commitment (AC-UC) model is proposed to represent the uncertain nature of wind power productions in terms of bounded intervals, and a tri-level decomposition algorithm using primal and dual cutting planes is introduced to solve this AC-UC problem.
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A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice
TL;DR: It is concluded that decoupling uncertainty models from solution methods and developing standardized performance measures represent key steps for organizing multi-stage optimization under uncertainty and for eliciting further potentials of yet unexplored combinations of uncertainty models and solution methods.
References
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Journal ArticleDOI
The Price of Robustness
Dimitris Bertsimas,Melvyn Sim +1 more
TL;DR: In this paper, the authors propose an approach that attempts to make this trade-off more attractive by flexibly adjusting the level of conservatism of the robust solutions in terms of probabilistic bounds of constraint violations.
The price of the robustness
D Bertsimas,M Sim +1 more
TL;DR: An approach is proposed that flexibly adjust the level of conservatism of the robust solutions in terms of probabilistic bounds of constraint violations, and an attractive aspect of this method is that the new robust formulation is also a linear optimization problem, so it naturally extend to discrete optimization problems in a tractable way.
Journal ArticleDOI
Robust Convex Optimization
Aharon Ben-Tal,Arkadi Nemirovski +1 more
TL;DR: If U is an ellipsoidal uncertainty set, then for some of the most important generic convex optimization problems (linear programming, quadratically constrained programming, semidefinite programming and others) the corresponding robust convex program is either exactly, or approximately, a tractable problem which lends itself to efficientalgorithms such as polynomial time interior point methods.
Journal ArticleDOI
Generalized Benders decomposition
TL;DR: In this paper, the extremal value of the linear program as a function of the parameterizing vector and the set of values of the parametric vector for which the program is feasible were derived using linear programming duality theory.