1-2期

最新文章

• Robust optimization of contaminant sensor placement for community water systems AI翻译
  作者：Carr, RD; Greenberg, HJ; Hart, WE; Konjevod, G; Lauer, E; Lin, H; Morrison, T; Phillips, CA
  作者单位：United States Department of Energy (DOE); Sandia National Laboratories; University of Colorado System; University of Colorado Denver; Arizona State University; Arizona State University-Tempe; University of New Mexico; University of California System; University of California Berkeley
  摘要：We present a series of related robust optimization models for placing sensors in municipal water networks to detect contaminants that are maliciously or accidentally injected. We formulate sensor placement problems as mixed-integer programs, for which the objective coefficients are not known with certainty. We consider a restricted absolute robustness criteria that is motivated by natural restrictions on the uncertain data, and we define three robust optimization models that differ in how the ...
• Robust global optimization with polynomials AI翻译
  作者：Lasserre, JB
  作者单位：Centre National de la Recherche Scientifique (CNRS)
  摘要：We consider the optimization problems max (z is an element of Omega) min (x is an element of K) p(z, x) and min (x is an element of K) max (z is an element of Omega) p(z, x) where the criterion p is a polynomial, linear in the variables z, the set Omega can be described by LMIs, and K is a basic closed semi-algebraic set. The first problem is a robust analogue of the generic SDP problem max (z is an element of Omega) p(z), whereas the second problem is a robust analogue of the generic problem ...
• Competitive multi-period pricing for perishable products: A robust optimization approach AI翻译
  作者：Perakis, G; Sood, A
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：We study a multi-period oligopolistic market for a single perishable product with fixed inventory. Our goal is to address the competitive aspect of the problem together with demand uncertainty using ideas from robust optimization and variational inequalities. The demand function for each seller has some associated uncertainty and we assume that the sellers would like to adopt a policy that is robust to adverse uncertain circumstances. We believe this is the first paper that uses robust optimiz...
• Tractable approximations to robust conic optimization problems AI翻译
  作者：Bertsimas, D; Sim, M
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); National University of Singapore
  摘要：In earlier proposals, the robust counterpart of conic optimization problems exhibits a lateral increase in complexity, i.e., robust linear programming problems (LPs) become second order cone problems (SOCPs), robust SOCPs become semidefinite programming problems (SDPs), and robust SDPs become NP-hard. We propose a relaxed robust counterpart for general conic optimization problems that (a) preserves the computational tractability of the nominal problem; specifically the robust conic optimizatio...
• Matrix sum-of-squares relaxations for robust semi-definite programs AI翻译
  作者：Scherer, CW; Hol, CWJ
  作者单位：Delft University of Technology
  摘要：We consider robust semi-definite programs which depend polynomially or rationally on some uncertain parameter that is only known to be contained in a set with a polynomial matrix inequality description. On the basis of matrix sum-of-squares decompositions, we suggest a systematic procedure to construct a family of linear matrix inequality relaxations for computing upper bounds on the optimal value of the corresponding robust counterpart. With a novel matrix-version of Putinar's sum-of-squares ...
• Robust optimal feedback for terminal linear-quadratic control problems under disturbances AI翻译
  作者：Kostyukova, O; Kostina, E
  作者单位：National Academy of Sciences of Belarus (NASB); Institute of Mathematics of the National Academy of Sciences of Belarus; Ruprecht Karls University Heidelberg
  摘要：We consider a linear dynamic system in the presence of an unknown but bounded perturbation and study how to control the system in order to get into a prescribed neighborhood of a zero at a given final moment. The quality of a control is estimated by the quadratic functional. We define optimal guaranteed program controls as controls that are allowed to be corrected at one intermediate time moment. We show that an infinite dimensional problem of constructing such controls is equivalent to a spec...
• Robust game theory AI翻译
  作者：Aghassi, M; Bertsimas, D
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：We present a distribution-free model of incomplete-information games, both with and without private information, in which the players use a robust optimization approach to contend with payoff uncertainty. Our robust game'' model relaxes the assumptions of Harsanyi's Bayesian game model, and provides an alternative distribution-free equilibrium concept, which we call robust-optimization equilibrium,'' to that of the ex post equilibrium. We prove that the robust-optimization equilibria of an inc...
• Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties AI翻译
  作者：Beck, A; Ben-Tal, A; Eldar, YC
  作者单位：Technion Israel Institute of Technology; Technion Israel Institute of Technology
  摘要：This paper is a continuation of the work in [11] and [2] on the problem of estimating by a linear estimator, N unobservable input vectors, undergoing the same linear transformation, from noise-corrupted observable output vectors. Whereas in the aforementioned papers, only the matrix representing the linear transformation was assumed uncertain, here we are concerned with the case in which the second order statistics of the noise vectors (i.e., their covariance matrices) are also subjected to un...
• Ambiguous chance constrained problems and robust optimization AI翻译
  作者：Erdogan, E; Iyengar, G
  作者单位：Columbia University
  摘要：In this paper we study ambiguous chance constrained problems where the distributions of the random parameters in the problem are themselves uncertain. We focus primarily on the special case where the uncertainty set Q of the distributions is of the form Q = {Q : rho(p) (Q, Q(0)) <= beta}, where rho(p) denotes the Prohorov metric. The ambiguous chance constrained problem is approximated by a robust sampled problem where each constraint is a robust constraint centered at a sample drawn according...
• A robust optimization approach to dynamic pricing and inventory control with no backorders AI翻译
  作者：Adida, E; Perakis, G
  作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：In this paper, we present a robust optimization formulation for dealing with demand uncertainty in a dynamic pricing and inventory control problem for a make-to-stock manufacturing system. We consider a multi-product capacitated, dynamic setting. We introduce a demand-based fluid model where the demand is a linear function of the price, the inventory cost is linear, the production cost is an increasing strictly convex function of the production rate and all coefficients are time-dependent. A k...