Doan, Xuan Vinh (2022) Distributionally robust optimization under endogenous uncertainty with an application in retrofitting planning. European Journal of Operational Research, 300 (1). pp. 73-84. doi:10.1016/j.ejor.2021.07.013 ISSN 0377-2217.

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Abstract

Endogenous uncertainty concerns uncertainty which is dependent of decisions such as link failure in the retrofitting planning application. We propose a marginal-based distributionally robust optimization framework for integer stochastic optimization with decision-dependent discrete distributions that can be applied for the retrofitting planning application. We show that the resulting model can be formulated as a mixed-integer linear optimization problem. In order to solve the problem, we develop a constraint generation algorithm given the exponentially large number of constraints. Numerical results for the retrofitting planning application show that the proposed algorithm once tailored can solve the problem efficiently.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	European Journal of Operational Research
Publisher:	Elsevier
ISSN:	0377-2217
Official Date:	July 2022
Dates:	Date Event July 2022 Published 15 July 2021 Available 6 July 2021 Accepted
Volume:	300
Number:	1
Page Range:	pp. 73-84
DOI:	10.1016/j.ejor.2021.07.013
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	6 July 2021
Date of first compliant Open Access:	15 July 2023
Related URLs:	Publisher

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