On data-driven robust optimization with multiple uncertainty subsets: Unified uncertainty set representation and mitigating conservatism

Constructing uncertainty sets as unions of multiple subsets has emerged as an effective approach for creating compact and flexible uncertainty representations in data-driven robust optimization (RO). This paper focuses on two separate research questions. The first concerns the computational challenge in applying these uncertainty sets in RO-based predictive control. To address this, a monolithic mixed-integer representation of the uncertainty set is proposed to uniformly describe the union of multiple subsets, enabling the computation of the worst-case uncertainty scenario across all subsets within a single mixed-integer linear programming (MILP) problem. The second research question focuses on mitigating the conservatism of conventional RO formulations by leveraging the structure of the uncertainty set. To achieve this, a novel objective function is proposed to exploit the uncertainty set structure and integrate the existing RO and distributionally robust optimization (DRO) formulations, yielding less conservative solutions than conventional RO formulations, while avoiding the high-dimensional continuous uncertainty distributions and the high computational burden typically associated with existing DRO formulations. Given the proposed formulations, numerically efficient computation methods based on column-and-constraint generation (CCG) are also developed. Extensive simulations across three case studies are performed to demonstrate the effectiveness of the proposed schemes. • A mixed-integer representation is proposed to describe the union of multiple uncertainty subsets implicitly. • The worst-case uncertainty across all uncertainty subsets is determined through a single MILP problem in the CCG algorithm. • A novel objective function leveraging the structure of multiple uncertainty subsets is proposed to mitigate the conservatism of the robust optimal solution. • Numerical experiments demonstrate the effectiveness of the proposed schemes.