A data-driven multistage adaptive robust optimization framework for planning and scheduling under uncertainty

作者：Ning Chao; You Fengqi^*

来源：AIChE Journal, 2017, 63(10): 4343-4369.

DOI：10.1002/aic.15792

• optimization under uncertainty
• multistage adaptive robust optimization
• robust kernel density estimation
• big data
• planning and scheduling

A novel data-driven approach for optimization under uncertainty based on multistage adaptive robust optimization (ARO) and nonparametric kernel density M-estimation is proposed. Different from conventional robust optimization methods, the proposed framework incorporates distributional information to avoid over-conservatism. Robust kernel density estimation with Hampel loss function is employed to extract probability distributions from uncertainty data via a kernelized iteratively reweighted least squares algorithm. A data-driven uncertainty set is proposed, where bounds of uncertain parameters are defined by quantile functions, to organically integrate the multistage ARO framework with uncertainty data. Based on this uncertainty set, we further develop an exact robust counterpart in its general form for solving the resulting data-driven multistage ARO problem. To illustrate the applicability of the proposed framework, two typical applications in process operations are presented: The first one is on strategic planning of process networks, and the other one on short-term scheduling of multipurpose batch processes. The proposed approach returns 23.9% higher net present value and 31.5% more profits than the conventional robust optimization method in planning and scheduling applications, respectively.

• 出版日期2017-10