(761g) A Data-Driven Multistage Adaptive Robust Optimization Framework for Planning and Scheduling Under Uncertainty
To the best of our knowledge, data-driven approach for multistage ARO has not been considered in the existing literature. Therefore, this paper aims to fill the knowledge gap and take the first step of developing a data-driven multistage ARO framework. In this work, we propose a novel data-driven multistage ARO framework that leverages robust statistics and machine learning techniques for multistage ARO methods. To extract an accurate probability distribution from uncertainty data that could be possibly large-scale and messy, we introduce a nonparametric robust kernel density estimation (RKDE) , which is obtained via a kernelized iteratively re-weighted least squares (KIRWLS) algorithm. Based on the information extracted from uncertainty data, we further propose a data-driven uncertainty set for multistage ARO using quantile functions and uncertainty budgets to organically integrate uncertainty data information with the multistage ARO framework. The quantile functions provide the bounds of uncertain parameters based on cumulative distribution functions. Moreover, uncertainty budgets are employed to adjust the level of conservatism. We apply affine decision rules for recourse variables , and further develop a data-driven multistage adaptive robust counterpart in a general form to facilitate the solution of the aforementioned ARO problem. Moreover, we introduce an approach to capture correlations between uncertain parameters in the data-driven uncertainty set using covariance matrix . We further develop a corresponding data-driven multistage adaptive robust counterpart that addresses not only the correlations between different uncertain parameters, but also the temporal correlations between different stages.
To illustrate the applicability of the proposed framework, two typical applications in process operations are presented. One application is the multi-period strategic planning of process networks , and the other one is the multipurpose batch process scheduling [14, 15]. In a case study on process planning, our proposed approach generates 23.9% more net present value (NPV) than that of the multistage ARO with a box uncertainty set. Compared with multistage ARO using KDE, the proposed method returns 22.6% more NPV. In a case study on batch process scheduling, the proposed approach returns 31.5% and 7.6% more profits than those of multistage ARO with a box uncertainty set and a KDE based uncertainty set, respectively.
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