Journal
COMPUTERS & CHEMICAL ENGINEERING
Volume 125, Issue -, Pages 434-448Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.compchemeng.2019.03.034
Keywords
Data-driven optimization; Decision making under uncertainty; Big data; Machine learning; Deep learning
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This paper reviews recent advances in the field of optimization under uncertainty via a modern data lens, highlights key research challenges and promise of data-driven optimization that organically integrates machine learning and mathematical programming for decision-making under uncertainty, and identifies potential research opportunities. A brief review of classical mathematical programming techniques for hedging against uncertainty is first presented, along with their wide spectrum of applications in Process Systems Engineering. A comprehensive review and classification of the relevant publications on data-driven distributionally robust optimization, data-driven chance constrained program, data-driven robust optimization, and data-driven scenario-based optimization is then presented. This paper also identifies fertile avenues for future research that focuses on a closed-loop data-driven optimization framework, which allows the feedback from mathematical programming to machine learning, as well as scenario-based optimization leveraging the power of deep learning techniques. Perspectives on online learning-based data-driven multistage optimization with a learning-while-optimizing scheme are presented. (C) 2019 Elsevier Ltd. All rights reserved.
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