Course RO: Robust Optimization

Course description:
We are living in a world with lots of uncertainties. Weather conditions, prices, and traffic jams are only a few uncertainties that we are encountering in our daily life. Societal and industrial parties are also facing uncertainties in demands, costs, and many more parameters on which their revenues based. So, the important question is "how to make decisions in dynamic uncertain environments?"
The goal of this course is to teach students how to answer this question using "robustness," which is a concept that helps us to make decisions that are not vulnerable to the changes in the uncertain parameters. So, the first and the most important concept that will be taught in this course is Robustness in Optimization problems

The main topics treated are:

• Uncertain (mixed integer) linear optimization (LO) problems
  • Data uncertainty in LO
  • Tractability of robust counterparts
  • Non-affine perturbations
  • Applications in logistics, marketing, finance, engineering
  • Data driven uncertainty sets
• Uncertain nonlinear optimization problems
  • Tractability of robust counterparts
  • Examples
• Robust adjustable multistage optimization
  • Adjustable robust counterpart
  • Affine policies
  • Finitely adaptive policies
• Applications
  • Examples of how to code in python with notebooks
  • Robust location-transportation problem
  • Robust supply chain planning

Prerequisites:
- Knowledge of basic linear algebra.
-Knowledge of linear programming and duality.
- Basic knowledge of convex analysis and non-linear optimization.
- Basic programming (python preferred)

Literature:

- Handouts.
- Lecture notes on Robust Optimization, by Dimitris Bertsimas and Dick den Hertog.

Examination:
Two take home problems.

Website for the course:
Website RO

Address of the lecturers:
Dr. Frans de Ruiter
Operations Research and Logistics Group
Wageningen University & Research
E-mail: frans.deruiter@wur.nl

Dr. Ahmadreza Marandi
Department of Industrial Engineering & Innovation Sciences
TU Eindhoven
E-mail: a.marandi@tue.nl