69 research outputs found
Optimisation of temporal networks under uncertainty
A wide variety of decision problems in operations research are defined on temporal networks,
that is, workflows of time-consuming tasks whose processing order is constrained by precedence
relations. For example, temporal networks are used to formalise the management of projects,
the execution of computer applications, the design of digital circuits and the scheduling of
production processes. Optimisation problems arise in temporal networks when a decision maker
wishes to determine a temporal arrangement of the tasks and/or a resource assignment that
optimises some network characteristic such as the network’s makespan (i.e., the time required
to complete all tasks) or its net present value.
Optimisation problems in temporal networks have been investigated intensively for more than
fifty years. To date, the majority of contributions focus on deterministic formulations where all
problem parameters are known. This is surprising since parameters such as the task durations,
the network structure, the availability of resources and the cash flows are typically unknown
at the time the decision problem arises. The tacit understanding in the literature is that the
decision maker replaces these uncertain parameters with their most likely or expected values
to obtain a deterministic optimisation problem. It is well-documented in theory and practise
that this approach can lead to severely suboptimal decisions.
The objective of this thesis is to investigate solution techniques for optimisation problems in
temporal networks that explicitly account for parameter uncertainty. Apart from theoretical
and computational challenges, a key difficulty is that the decision maker may not be aware
of the precise nature of the uncertainty. We therefore study several formulations, each of
which requires different information about the probability distribution of the uncertain problem
parameters. We discuss models that maximise the network’s net present value and problems
that minimise the network’s makespan. Throughout the thesis, emphasis is placed on tractable
techniques that scale to industrial-size problems
Robust Resource Allocations in Temporal Networks
Temporal networks describe workflows of time-consuming tasks whose processing order is constrained by precedence relations. In many cases, the durations of the network tasks can be influenced by the assignment of resources. This leads to the problem of selecting an ‘optimal’ resource allocation, where optimality is measured by network characteristics such as the makespan (i.e., the time required to complete all tasks). In this paper, we study a robust resource allocation problem where the functional relationship between task durations and resource assignments is uncertain, and the goal is to minimise the worst-case makespan. We show that this problem is generically NP-hard. We then develop convergent bounds for the optimal objective value, as well as feasible allocations whose objective values are bracketed by these bounds. Numerical results provide empirical support for the proposed method.Robust Optimisation, Temporal Networks, Resource Allocation Problem
Generalized Decision Rule Approximations for Stochastic Programming via Liftings
Stochastic programming provides a versatile framework for decision-making under uncertainty, but the resulting optimization problems can be computationally demanding. It has recently been shown that, primal and dual linear decision rule approximations can yield tractable upper and lower bounds on the optimal value of a stochastic program. Unfortunately, linear decision rules often provide crude approximations that result in loose bounds. To address this problem, we propose a lifting technique that maps a given stochastic program to an equivalent problem on a higherdimensional probability space. We prove that solving the lifted problem in primal and dual linear decision rules provides tighter bounds than those obtained from applying linear decision rules to the original problem. We also show that there is a one-to-one correspondence between linear decision rules in the lifted problem and families of non-linear decision rules in the original problem. Finally, we identify structured liftings that give rise to highly flexible piecewise linear decision rules and assess their performance in the context of a stylized investment planning problem.
Robust Markov Decision Processes
Markov decision processes (MDPs) are powerful tools for decision making in uncertain dynamic environments. However, the solutions of MDPs are of limited practical use due to their sensitivity to distributional model parameters, which are typically unknown and have to be estimated by the decision maker. To counter the detrimental effects of estimation errors, we consider robust MDPs that offer probabilistic guarantees in view of the unknown parameters. To this end, we assume that an observation history of the MDP is available. Based on this history, we derive a confidence region that contains the unknown parameters with a pre-specified probability 1-ß. Afterwards, we determine a policy that attains the highest worst-case performance over this confidence region. By construction, this policy achieves or exceeds its worst-case performance with a confidence of at least 1 - ß. Our method involves the solution of tractable conic programs of moderate size.
Robust Optimization of Currency Portfolios
We study a currency investment strategy, where we maximize the return on a portfolio of foreign currencies relative to any appreciation of the corresponding foreign exchange rates. Given the uncertainty in the estimation of the future currency values, we employ robust optimization techniques to maximize the return on the portfolio for the worst-case foreign exchange rate scenario. Currency portfolios differ from stock only portfolios in that a triangular relationship exists among foreign exchange rates to avoid arbitrage. Although the inclusion of such a constraint in the model would lead to a nonconvex problem, we show that by choosing appropriate uncertainty sets for the exchange and the cross exchange rates, we obtain a convex model that can be solved efficiently. Alongside robust optimization, an additional guarantee is explored by investing in currency options to cover the eventuality that foreign exchange rates materialize outside the specified uncertainty sets. We present numerical results that show the relationship between the size of the uncertainty sets and the distribution of the investment among currencies and options, and the overall performance of the model in a series of backtesting experiments.robust optimization, portfolio optimization, currency hedging, second-order cone programming
Data-Driven Chance Constrained Programs over Wasserstein Balls
We provide an exact deterministic reformulation for data-driven chance
constrained programs over Wasserstein balls. For individual chance constraints
as well as joint chance constraints with right-hand side uncertainty, our
reformulation amounts to a mixed-integer conic program. In the special case of
a Wasserstein ball with the -norm or the -norm, the cone is the
nonnegative orthant, and the chance constrained program can be reformulated as
a mixed-integer linear program. Our reformulation compares favourably to
several state-of-the-art data-driven optimization schemes in our numerical
experiments.Comment: 25 pages, 9 figure
A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle
Robust and distributionally robust optimization are modeling paradigms for
decision-making under uncertainty where the uncertain parameters are only known
to reside in an uncertainty set or are governed by any probability distribution
from within an ambiguity set, respectively, and a decision is sought that
minimizes a cost function under the most adverse outcome of the uncertainty. In
this paper, we develop a rigorous and general theory of robust and
distributionally robust nonlinear optimization using the language of convex
analysis. Our framework is based on a generalized
`primal-worst-equals-dual-best' principle that establishes strong duality
between a semi-infinite primal worst and a non-convex dual best formulation,
both of which admit finite convex reformulations. This principle offers an
alternative formulation for robust optimization problems that obviates the need
to mobilize the machinery of abstract semi-infinite duality theory to prove
strong duality in distributionally robust optimization. We illustrate the
modeling power of our approach through convex reformulations for
distributionally robust optimization problems whose ambiguity sets are defined
through general optimal transport distances, which generalize earlier results
for Wasserstein ambiguity sets.Comment: Previous title: Mathematical Foundations of Robust and
Distributionally Robust Optimizatio
On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls
Distributionally robust chance constrained programs minimize a deterministic
cost function subject to the satisfaction of one or more safety conditions with
high probability, given that the probability distribution of the uncertain
problem parameters affecting the safety condition(s) is only known to belong to
some ambiguity set. We study three popular approximation schemes for
distributionally robust chance constrained programs over Wasserstein balls,
where the ambiguity set contains all probability distributions within a certain
Wasserstein distance to a reference distribution. The first approximation
replaces the chance constraint with a bound on the conditional value-at-risk,
the second approximation decouples different safety conditions via Bonferroni's
inequality, and the third approximation restricts the expected violation of the
safety condition(s) so that the chance constraint is satisfied. We show that
the conditional value-at-risk approximation can be characterized as a tight
convex approximation, which complements earlier findings on classical
(non-robust) chance constraints, and we offer a novel interpretation in terms
of transportation savings. We also show that the three approximations can
perform arbitrarily poorly in data-driven settings, and that they are generally
incomparable with each other.Comment: arXiv admin note: substantial text overlap with arXiv:1809.0021
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