内生需求不确定性下的两阶段分布鲁棒边缘节点放置

考虑尾流效应与内生不确定性的并网风力发电与储能容量配置：一种分布鲁棒方法

Sizing Grid-Connected Wind Power Generation and Energy Storage with Wake Effect and Endogenous Uncertainty: A Distributionally Robust Method

针对风电与储能容量配置问题，本文提出考虑尾流效应和内生不确定性的双目标分布鲁棒优化模型，通过基于最小利普希茨常数的近似方法转化求解，验证了考虑尾流效应的必要性与方法有效性。

Nurse Staffing under Absenteeism: A Distributionally Robust Optimization Approach

We study the nurse staffing problem under random nurse demand and absenteeism. While the demand uncertainty is exogenous (stemming from the random patient census), the absenteeism uncertainty is \emph{endogenous}, i.e., the number of nurses who show up for work partially depends on the nurse staffing level. For quality of care, many hospitals have developed float pools, i.e., groups of hospital units, and trained nurses to be able to work in multiple units (termed cross-training) in response to potential nurse shortage. In this paper, we propose a distributionally robust nurse staffing (DRNS) …

Distributionally Robust Optimization with Decision Dependent Ambiguity Sets

We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed framework includes two-stage decision dependent distributionally robust stochastic programming as a special case. Decision dependent generalizations of five types of ambiguity sets are considered. These sets are based on bounds on moments, Wasserstein metric, $ϕ$-divergence and Kolmogorov-Smirnov test. For the finite support case, we use linear, conic or La…

A Distributionally Robust Random Utility Model

This paper introduces the distributionally robust random utility model (DRO-RUM), which allows the preference shock (unobserved heterogeneity) distribution to be misspecified or unknown. We make three contributions using tools from the literature on robust optimization. First, by exploiting the notion of distributionally robust social surplus function, we show that the DRO-RUM endogenously generates a shock distributionthat incorporates a correlation between the utilities of the different alternatives. Second, we show that the gradient of the distributionally robust social surplus yields the c…

基于Kullback-Leibler模糊集的分布鲁棒LQG

Distributionally Robust LQG with Kullback-Leibler Ambiguity Sets

针对LQG控制器对模型误设的脆弱性，提出基于各时间步相对熵模糊集的分布鲁棒LQG，证明最优策略仍为线性，给出收敛的迭代计算方案，并针对内生不确定性提出动态规划近似方法。

Multistage Distributionally Robust Mixed-Integer Programming with Decision-Dependent Moment-Based Ambiguity Sets

We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisions made in previous stages. We first consider two ambiguity sets defined by decision-dependent bounds on the first and second moments of uncertain parameters and by mean and covariance matrix that exactly match decision-dependent empirical ones, respectively. For both sets, we show that the subproblem in each stage can be recast as a mixed-integer linear program (MILP). Moreover, we extend the general moment-based am…