Data-driven contextual robust optimization based on support vector clustering

Xianyu Li, Fenglian Dong, Zhiwei Wei, Chao Shang

Abstract: Highlights•A data-driven contextual uncertainty set based on SVC is proposed.•Contextual information is encoded into uncertainty set through kNN.•Conservatism of generic uncertainty sets can be reduced.•Numerical cases show the significant advantages of the proposed method.•The ability to handle the varying uncertainty caused by linearization errors.