کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
696390 890334 2012 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A constraint sampling approach for multi-stage robust optimization
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
A constraint sampling approach for multi-stage robust optimization
چکیده انگلیسی

We propose a tractable approximation scheme for convex (not necessarily linear) multi-stage robust optimization problems. We approximate the adaptive decisions by finite linear combinations of prescribed basis functions and demonstrate how one can optimize over these decision rules at low computational cost through constraint randomization. We obtain a-priori probabilistic guarantees on the feasibility properties of the optimal decision rule by applying existing constraint sampling techniques to the semi-infinite problem arising from the decision rule approximation. We demonstrate that for a suitable choice of basis functions, the approximation converges as the size of the basis and the number of sampled constraints tend to infinity. The approach yields an algorithm parameterized in the basis size, the probability of constraint violation and the confidence that this probability will not be exceeded. These three parameters serve to tune the trade-off between optimality and feasibility of the decision rules and the computational cost of the algorithm. We assess the convergence and scalability properties of our approach in the context of two inventory management problems.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 48, Issue 3, March 2012, Pages 459–471
نویسندگان
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