Practicable robust stochastic optimization under divergence measures with an application to equitable humanitarian response planning

Aakil M. Caunhye*, Douglas Alem

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

We seek to provide practicable approximations of the two-stage robust stochastic optimization model when its ambiguity set is constructed with an f-divergence radius. These models are known to be numerically challenging to various degrees, depending on the choice of the f-divergence function. The numerical challenges are even more pronounced under mixed-integer first-stage decisions. In this paper, we propose novel divergence functions that produce practicable robust counterparts, while maintaining versatility in modeling diverse ambiguity aversions. Our functions yield robust counterparts that have comparable
numerical difficulties to their nominal problems. We also proposeways to use our divergences to mimic existing f-divergences without affecting the practicability. We implement our models in a realistic location-allocation model for humanitarian operations in Brazil. Our humanitarian model optimizes an effectiveness-equity trade-off, defined with a new utility function and a Gini mean difference coefficient. With the case study, we showcase 1) the significant improvement inpracticability of the robust stochastic optimization counterparts with our proposed divergence functions compared to existing f-divergences, 2) the greater equity of humanitarian response that the objective function enforces and 3) the greater robustness to variations in probability estimations of the resulting plans when ambiguity is considered.
Original languageEnglish
Pages (from-to)759-806
Number of pages48
JournalOR Spectrum
Issue number3
Early online date21 May 2023
Publication statusPublished - Sept 2023

Keywords / Materials (for Non-textual outputs)

  • stochastic programming
  • ambiguity
  • robust stochastic optimization
  • Moreau-Yosida regularization
  • f-divergence
  • equitable humanitarian logistics


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