There are many problems in security and defense that require a robust optimization technique, including those that involve the release of a chemical or biological contaminant. Our problem, in particular, is computing the parameters to be used in modeling atmospheric transport and dispersion given field sensor measurements of contaminant concentration. This paper discusses using a genetic algori...

Copyright: © 2016 INFORMS Abstract. We propose and analyze robust optimization models of an inventory management problem, where cumulative purchase, inventory, and shortage costs over n periods are minimized for correlated nonidentically distributed demand. We assume that the means and covariance matrix of stochastic demand are known; the distributions are not needed. We derive closed-form orde...

Optimization of reservoir parameters is an important issue in petroleum exploration and production. The Ant Colony Optimization(ACO) is a recent approach to solve discrete and continuous optimization problems. In this paper, the Ant Colony Optimization is usedas an intelligent tool to estimate reservoir rock properties. The methodology is illustrated by using a case study on shear wave velocity...

We provide an overview of the main results that we obtained studying uncertain mixed integer linear programs when the uncertainty is represented through the new multiband model [4]. Such model extends and refines the classical one proposed by Bertsimas and Sim [2] and is particularly suitable in the common case of arbitrary non-symmetric distributions of the uncertainty. Our investigations were...

Measures of residual risk are developed as extension of measures of risk. They view a random variable of interest in concert with an auxiliary random vector that helps to manage, predict, and mitigate the risk in the original variable. Residual risk can be exemplified as a quantification of the improved situation faced by a hedging investor compared to that of a single-asset investor, but the n...

This paper is concerned with the application and analysis of a recent result in the literature on robust optimization to the control of linear discrete-time systems, which are subject to unknown state disturbances and mixed constraints on the state and input. By parameterizing the control input sequence as an affine function of the disturbance sequence, it can be shown that a certain class of r...

Utilization of controllable ferroelectric and ferromagnetic layers coating a conducting object to provide an attenuation capability against electromagnetic interrogation is discussed. The problem is formulated as a differential game and/or a robust optimization. The scattered field due to interrogation can be attenuated with the assumption of an uncertainty in the interrogation wave numbers. Th...

A robust optimization framework for countably infinite linear programs (CILPs) is developed. It is shown that a particular robust counterpart of a nominal CILP can be reformulated as another CILP. A bound on the probability of constraint violation is derived. A convergent algorithm for solving this robust CILP is proposed.

—The do-not-exceed (DNE) limit method was proposed to accommodate more variable renewable generation (VRG) securely. However, the lack of involving discrete recourse control precludes this method from gaining more flexibility for better VRG integration. This letter formulates a multi-period DNE limit model considering continuous and discrete recourse controls. This model belongs to two-stage ro...

Owning to similar business nature, it should be possible to directly migrate successful airline revenue management techniques to the hotel domain. However, one of the salient di0erences between airlines and hotels is rarely highlighted—the network structure of length of stay or the displacement e0ect. The hotel patrons go from a 4rst stay-over night to a last stay-over night in consecutive nigh...