How to build two-stage robust optimization

[sometimesstudy]

Hi, I am trying to build two-stage robust optimization and use it in power system robust scheduling, the formulation is as min cx+ maxmin ay, but I haven't found the examples like this. So how can I build a model like min cx+ maxmin ay? Thanks a million!

[chenzjames]

Hi Yuxuan, You may refer to this example: https://xiongpengnus.github.io/rsome/example_ro_vehicle. To deal with two-stage robust optimization problems, RSOME typically uses the decision rule approximation.

On Wed, May 3, 2023 at 9:57 AM Yuxuan @.***> wrote:

Hi, I am trying to build two-stage robust optimization and use it in power system robust scheduling, the formulation is as min cx+ maxmin ay, but I haven't found the examples like this. So how can I build a model like min cx+ maxmin ay? Thanks a million!

— Reply to this email directly, view it on GitHub https://github.com/XiongPengNUS/rsome/issues/45, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEFJWD3GJT5WGGPMBYTO6PDXEG3PRANCNFSM6AAAAAAXTZD2MQ . You are receiving this because you are subscribed to this thread.Message ID: @.***>

[sometimesstudy]

I am wholeheartedly thankful for your reply. So if I want to build a model with formulation of min+maxmin, I should firstly consider min cx+ ay, and next y.adapt(d)?

Hi Yuxuan, You may refer to this example: https://xiongpengnus.github.io/rsome/example_ro_vehicle. To deal with two-stage robust optimization problems, RSOME typically uses the decision rule approximation. … On Wed, May 3, 2023 at 9:57 AM Yuxuan @.> wrote: Hi, I am trying to build two-stage robust optimization and use it in power system robust scheduling, the formulation is as min cx+ maxmin ay, but I haven't found the examples like this. So how can I build a model like min cx+ maxmin ay? Thanks a million! — Reply to this email directly, view it on GitHub <#45>, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEFJWD3GJT5WGGPMBYTO6PDXEG3PRANCNFSM6AAAAAAXTZD2MQ . You are receiving this because you are subscribed to this thread.Message ID: @.>

[chenzjames]

Yes: but putting “minimax” as the objective.

On 3 May 2023, at 16:14, Yuxuan @.***> wrote:

I am wholeheartedly thankful for your reply. So if I want to build a model with formulation of min+maxmin, I should firstly consider min cx+ ay, and next y.adapt(d)?

Hi Yuxuan, You may refer to this example: https://xiongpengnus.github.io/rsome/example_ro_vehicle. To deal with two-stage robust optimization problems, RSOME typically uses the decision rule approximation. … <x-msg://2/#> On Wed, May 3, 2023 at 9:57 AM Yuxuan @.> wrote: Hi, I am trying to build two-stage robust optimization and use it in power system robust scheduling, the formulation is as min cx+ maxmin ay, but I haven't found the examples like this. So how can I build a model like min cx+ maxmin ay? Thanks a million! — Reply to this email directly, view it on GitHub <#45 https://github.com/XiongPengNUS/rsome/issues/45>, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEFJWD3GJT5WGGPMBYTO6PDXEG3PRANCNFSM6AAAAAAXTZD2MQ . You are receiving this because you are subscribed to this thread.Message ID: @.>

— Reply to this email directly, view it on GitHub https://github.com/XiongPengNUS/rsome/issues/45#issuecomment-1532622248, or unsubscribe https://github.com/notifications/unsubscribe-auth/AEFJWD4T4YOY43ZCW2N7PW3XEIHX3ANCNFSM6AAAAAAXTZD2MQ. You are receiving this because you commented.

[sometimesstudy]

Sorry, I still feel a little confused. Take the case study of Bo Zeng's paper (https://doi.org/10.1016/j.orl.2013.05.003) as an example How can I build this model in rsome? Especially the objective. Many thanks for your help!

[sometimesstudy]

I have addressed my questions. Thanks so much!