Data-Driven Stochastic Robust Optimization: General Computational Framework and Algorithm Leveraging Machine Learning for Optimization under Uncertainty in the Big Data Era

Chao Ning, Fengqi You

Abstract: Highlights•Machine learning based uncertainty model is developed.•A data-driven optimization under uncertainty framework is proposed.•Labeled multi-class uncertainty data is leveraged for decision making.•The resulting problem is solved with a decomposition-based algorithm.•Applications to process network design and planning.