Corpus ID: 238252980

A Decision Rule Approach for Two-Stage Data-Driven Distributionally Robust Optimization Problems with Random Recourse

@inproceedings{Fan2021ADR,
  title={A Decision Rule Approach for Two-Stage Data-Driven Distributionally Robust Optimization Problems with Random Recourse},
  author={Xiangyi Fan and Grani Adiwena Hanasusanto},
  year={2021}
}
We study two-stage stochastic optimization problems with random recourse, where the adaptive decisions are multiplied with the uncertain parameters in both the objective function and the constraints. To mitigate the computational intractability of infinite-dimensional optimization, we propose a scalable approximation scheme via piecewise linear and piecewise quadratic decision rules. We then develop a data-driven distributionally robust framework with two layers of robustness to address… Expand

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References

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