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    Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong

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Date: Friday, January 13, 4:30 pm – 6:00 pm

Venue: ERB 513, The Chinese University of Hong Kong

Title: Robust Optimization with Continuous Decision-Dependent Uncertainty

Speaker: Prof. Hongfan (Kevin) Chen, CUHK Business School

Abstract:

We consider a robust optimization problem with continuous decision-dependent uncertainty (RO-CDDU), which has two new features: an uncertainty set linearly dependent on continuous decision variables and a convex piecewise-linear objective function. We prove that RO-CDDU is strongly NP-hard in general, and reformulate it into an equivalent mixed-integer nonlinear program (MINLP) with a decomposable structure to address the computational challenges. Such an MINLP model can be further transformed into a mixed-integer linear program (MILP) given the uncertainty set's extreme points. We propose an alternating direction algorithm and a column generation algorithm for RO-CDDU. We model a robust demand response (DR) management problem in electricity markets as RO-CDDU, where electricity demand reduction from users is uncertain and depends on the DR planning decision. Extensive computational results demonstrate the promising performance of the proposed algorithms in both speed and solution quality. The results also shed light on how different magnitudes of decision-dependent uncertainty affect the demand response decision.

Biography:

Hongfan (Kevin) Chen is an Assistant Professor of at the Department of Decision Sciences and Managerial Economics at the Chinese University of Hong Kong Business School. His research primarily focuses on revenue management, platform marketplaces, and optimization under uncertainty. During his PhD at Chicago Booth, he mainly worked with Professor John R. Birge, Professor Ozan Candogan, Professor N. Bora Keskin (Duke), Professor Daniela Saban (Stanford) and Professor Amy R. Ward. He also had professional experience in companies including Airbnb, Amazon, Cox Enterprises, Interface, Hewlett Packard and ABB.

Everyone is welcome to attend the talk!

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk

Email: seem5202@se.cuhk.edu.hk