Unanswered Questions

Although I only heard about Contextual Stochastic Optimization (CSO) a few months ago, I know now the excitement has been going on for a while. I'm not sure if the idea of CSO has been around for long,...

I've been working through this book on robust optimization of electric energy systems, and in particular chapter 4 on distributionally robust optimization. In following the derivation of section 4.2.1....

Consider the following optimization/control problem: We aim to maximize the cumulative reward $R$ during the horizon $H$ by every day allocating a portion of total budget $B$ to our two different ...

I have a multi-stage model with both binary and continuous first-stage investment variables and continuous operational next-stage variables: $$ \sum_{s} \rho_{s} \left[ x_{s} + y_{s} + \sum_{t}(y^{op}...

I gonna use the approach used in this document. Suppose there are $T$ stages and uncertain parameter is $\xi_{t}, \quad t \in \{1,2,\dots,T\}$. In this algorithm, it is required to calculate the ...

I have the following 2 stage Stochastic Programming program: \begin{align}\min_x& \quad x+\sum_{s=1}^{3}p_sQ_s(x)\\\text{s.t.}&\quad x\in\Bbb R\\&\quad Q_s(x)=\min\left[\begin{pmatrix}1&...

The generalized p-Wasserstein distance, for $p\geq 1$, is given by $$d_W(Q_1,Q_2):=inf \left\{\int_{\Xi_2}||\xi_1-\xi_2||^p \Pi(d\xi_1,d\xi_2)\right\}$$ where $\Pi$ is the joint distribution of $\xi_1$...

There is a proof of how to derive distributionally robust chance constraints with ellipsoid bound. $$\inf_{\mathbb{P}\in\mathcal{D}^{WD}} \mathbb{P}\{\|\mathbf{A\zeta-b}\|_2 \leq 1\} \geq 1-\epsilon$$ ...

I am working on a two stage approach in order to reduce the complexity of a scheduling model which is an NP-hard problem. I have to implement a while loop in order to repeat solving the models in case ...

What type of Monte Carlo simulation is suitable for solving this problem? Also, how can we select results after simulation to guarantee feasibility?

The OR-Notes by J E Beasley states: Hence the problem: minimise 5x+6y subject to: Prob(a1x + a2y >= 3) >= 1-alpha x,y >= 0 ...

I am currently working on a resource allocation problem and I am uncertain about which field of stochastic optimization and reinforcement learning encompasses this particular problem. The objective is ...

I'm trying to recall a theorem that I was taught in grad school, but can't remember the name of the theorem. We were learning about different methods to solve unit committment and economic dispatch ...